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Knowledge and Information Systems
Erschienen in: Knowledge and Information Systems 3/2018

12.06.2017 | Regular Paper

Three iteratively reweighted least squares algorithms for \(L_1\)-norm principal component analysis

verfasst von: Young Woong Park, Diego Klabjan

Erschienen in: Knowledge and Information Systems | Ausgabe 3/2018

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Abstract

Principal component analysis (PCA) is often used to reduce the dimension of data by selecting a few orthonormal vectors that explain most of the variance structure of the data. \(L_1\) PCA uses the \(L_1\) norm to measure error, whereas the conventional PCA uses the \(L_2\) norm. For the \(L_1\) PCA problem minimizing the fitting error of the reconstructed data, we propose three algorithms based on iteratively reweighted least squares. We first develop an exact reweighted algorithm. Next, an approximate version is developed based on eigenpair approximation when the algorithm is near convergent. Finally, the approximate version is extended based on stochastic singular value decomposition. We provide convergence analyses, and compare their performance against benchmark algorithms in the literature. The computational experiment shows that the proposed algorithms consistently perform the best and the scalability is improved as we use eigenpair approximation and stochastic singular value decomposition.
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Fußnoten
1
Iteratively reweighted least squares (IRLS) is an algorithmic framework to solve weighted least squares where the weights depend on the model parameters. Since the weights change based on the model parameters, iterations are needed until some convergence or a termination criteria are met.
 
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Metadaten
Titel
Three iteratively reweighted least squares algorithms for -norm principal component analysis
verfasst von
Young Woong Park
Diego Klabjan
Publikationsdatum
12.06.2017
Verlag
Springer London
Erschienen in
Knowledge and Information Systems / Ausgabe 3/2018
Print ISSN: 0219-1377
Elektronische ISSN: 0219-3116
DOI
https://doi.org/10.1007/s10115-017-1069-6

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