A guide to sparse PCA

EI-ERIM-OR seminar
Speaker

Rosember Guerra Urzola

Date
Friday 22 Apr 2022, 12:00 - 13:00
Type
Seminar
Spoken Language
English
Room
Room 1-13
Building
Sanders Building
Location

Online (via Zoom)

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Image - Rosember Guerra Urzola

PCA is a popular tool for exploratory data analysis and dimension reduction, especially in the high-dimensional setting. To improve interpretability, several PCA methods generating sparse solutions have been proposed.

Solving the sparse SCA problem is intractable, given its combinatorial nature. In this seminar, different sparse PCA methods are analysed, focusing on the optimisation criteria used to achieve sparseness.

Practical issues are discussed, such as the misconception that equivalent PCA formulations remain equivalent under sparsity. Finally, an extension to the problem of sparse Simultaneous Component Analysis is presented.

About Rosember Guerra Urzola

Rosember Guerra-Urzola is a last-year PhD student at Tilburg University. His PhD research has focused on the sparse PCA problem from the statistical and machine learning viewpoint and its applications to the social sciences.

Coordinators

  • Michal Mankowski
  • Olga Kuryatnikova
More information

The meeting will also be broadcast via Zoom:
https://eur-nl.zoom.us/j/95156986071?pwd=NmhWa2pYbWRoL3F1SWtxcElGZUhOQT09
Meeting ID: 951 5698 6071
Passcode: 385550

Secretariat Econometrics
Phone: +31 (0)10 408 12 59/ 12 64
Email: eb-secr@ese.eur.nl

Related links
Department of Econometrics

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