large-Scale Supervised Sparse Principal Component Analysis
The drawbacks of most existing technique:
1 Drawbacks of Existing techniques
Existing techniques include ad-hoc methods(e.g. factor rotation techniques, simple thresholding), greedy algorithms, SCoTLASS, the regularized SVD method, SPCA, the generalized power method. These methods are based on non-convex optimization and they don't guarantee global optimum.
A semi-definite relaxation method called DSPCA can guarantee global convergence and has better performance than above algorithms, however, it is computationally expensive.
2 Contribution of this paper
This paper solves DSPCA in a computationally easier way, and hence it is a good solution for large scale data sets. This paper applies a block coordinate ascent algorithm with computational complexity