A Randomized Rounding Algorithm for Sparse PCA
A Randomized Rounding Algorithm for Sparse PCA
We present and analyze a simple, two-step algorithm to approximate the optimal solution of the sparse PCA problem. In the proposed approach, we first solve an ℓ 1 -penalized version of the NP-hard sparse PCA optimization problem and then we use a randomized rounding strategy to sparsify the resulting dense …