Sparsepc

A header-only C++ library for sparse principal component computations.

A formulation of the Sparse Principal Component Problem is as follows

$$(\text{SPCA}_{\Sigma}^{k})\; \left\{ \begin{array}{ll}\max & x^{T}\Sigma x\\\ s.t.&x^{T}x = 1,\\\ &\left\|x\right\|_0 \leq k,\\\ &\;x\in\mathbb{R}^n,\\\ \end{array} \right.$$

where the integer parameter $1 \leq k \leq n$ controls the sparsity of the solution.

Sparsely

A standalone application that allows computing and selecting sparse principal components. It uses Sparsepc as solver.

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Platforms

• Windows
• Ubuntu
• MacOs

License

MPL 2.0

Project status

Work In Progress