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Register a new userEigenvectors from Eigenvalues Sparse Principal Component Analysis (EESPCA)
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H. Robert Frost
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We present a novel technique for sparse principal component analysis. This method, named Eigenvectors from Eigenvalues Sparse Principal Component Analysis (EESPCA), is based on the recently detailed formula for computing normed, squared eigenvector loadings of a Hermitian matrix from the eigenvalues of the full matrix and associated sub-matrices. Relative to the state-of-the-art LASSO-based sparse PCA method of Witten, Tibshirani and Hastie, the EESPCA technique offers a two-orders-of-magnitude improvement in computational speed, does not require estimation of tuning parameters, and can more accurately identify true zero principal component loadings across a range of data matrix sizes and covariance structures. Importantly, EESPCA achieves these performance benefits while maintaining a reconstruction error close to that generated by the Witten et al. approach. EESPCA is a practical and effective technique for sparse PCA with particular relevance to computationally demanding problems such as the analysis of large data matrices or statistical techniques like resampling that involve the repeated application of sparse PCA.
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There are several cutting edge applications needing PCA methods for data on tori and we propose a novel torus-PCA method with important properties that can be generally applied. There are two existing general methods: tangent space PCA and geodesic PCA. However, unlike tangent space PCA, our torus-PCA honors the cyclic topology of the data space whereas, unlike geodesic PCA, our torus-PCA produces a variety of non-winding, non-dense descriptors. This is achieved by deforming tori into spheres and then using a variant of the recently developed principle nested spheres analysis. This PCA analysis involves a step of small sphere fitting and we provide an improved test to avoid overfitting. However, deforming tori into spheres creates singularities. We introduce a data-adaptive pre-clustering technique to keep the singularities away from the data. For the frequently encountered case that the residual variance around the PCA main component is small, we use a post-mode hunting technique for more fine-grained clustering. Thus in general, there are three successive interrelated key steps of torus-PCA in practice: pre-clustering, deformation, and post-mode hunting. We illustrate our method with two recently studied RNA structure (tori) data sets: one is a small RNA data set which is established as the benchmark for PCA and we validate our method through this data. Another is a large RNA data set (containing the small RNA data set) for which we show that our method provides interpretable principal components as well as giving further insight into its structure.
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Sparse principal component analysis (PCA) is a popular tool for dimensional reduction of high-dimensional data. Despite its massive popularity, there is still a lack of theoretically justifiable Bayesian sparse PCA that is computationally scalable. A major challenge is choosing a suitable prior for the loadings matrix, as principal components are mutually orthogonal. We propose a spike and slab prior that meets this orthogonality constraint and show that the posterior enjoys both theoretical and computational advantages. Two computational algorithms, the PX-CAVI and the PX-EM algorithms, are developed. Both algorithms use parameter expansion to deal with the orthogonality constraint and to accelerate their convergence speeds. We found that the PX-CAVI algorithm has superior empirical performance than the PX-EM algorithm and two other penalty methods for sparse PCA. The PX-CAVI algorithm is then applied to study a lung cancer gene expression dataset. $mathsf{R}$ package $mathsf{VBsparsePCA}$ with an implementation of the algorithm is available on The Comprehensive R Archive Network.
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