Abstract
Principal component analysis (PCA) is a widely used dimensionality reduction technique in machine learning and multivariate statistics. To improve the interpretability of PCA, various approaches to obtain sparse principal direction loadings have been proposed, which are termed Sparse Principal Component Analysis (SPCA). In this paper, we present ThreSPCA1, a provably accurate algorithm based on thresholding the Singular Value Decomposition for the SPCA problem, without imposing any restrictive assumptions on the input covariance matrix. Our thresholding algorithm is conceptually simple; much faster than current state-of-the-art; and performs well in practice. When applied to genotype data from the 1000 Genomes Project, ThreSPCA is faster than previous benchmarks, at least as accurate, and leads to a set of interpretable biomarkers, revealing genetic diversity across the world.
Competing Interest Statement
The authors have declared no competing interest.
Footnotes
Added explicit URL to code repository in abstract
↵1 Code available at https://github.com/aritra90/ThreSPCA