SPCAvRP: Sparse Principal Component Analysis via Random Projections (SPCAvRP)
Milana Gataric, Tengyao Wang and Richard J. Samworth · 2017
Implements the SPCAvRP algorithm, developed and analysed in "Sparse principal component analysis via random projections" Gataric, M., Wang, T. and Samworth, R. J. (2018) . The algorithm is based on the aggregation of eigenvector information from carefully-selected random projections of the sample covariance matrix.