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A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis

We present a penalized matrix decomposition (PMD), a new framework for computing a rank-K approximation for a matrix. We approximate the matrix X as [Image: see text], where d(k), u(k), and v(k) minimize the squared Frobenius norm of X[Image: see text], subject to penalties on u(k) and v(k). This re...

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Detalhes bibliográficos
Main Authors: Witten, Daniela M., Tibshirani, Robert, Hastie, Trevor
Formato: Artigo
Idioma:Inglês
Publicado em: Oxford University Press 2009
Assuntos:
Acesso em linha:https://ncbi.nlm.nih.gov/pmc/articles/PMC2697346/
https://ncbi.nlm.nih.gov/pubmed/19377034
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biostatistics/kxp008
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