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Sparse principal component analysis and sparse canonical correlation analysis are two essential techniques from high-dimensional statistics and machine learning for analyzing large-scale data. Both problems can be formulated as an optimization problem with nonsmooth objective and nonconvex constraints. Because nonsmoothness and nonconvexity bring numerical difficulties, most algorithms suggested in the literature either solve some relaxations of them or are heuristic and lack convergence guarantees. In this paper, we propose a new alternating manifold proximal gradient method to solve these two high-dimensional problems and provide a unified convergence analysis. Numerical experimental results are reported to demonstrate the advantages of our algorithm.
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Sparse regression for plasma physics
Many scientific problems can be formulated as sparse regression, i.e., regression onto a set of parameters when there is a desire or expectation that some of the parameters are exactly zero or do not substantially contribute. This includes many problems in signal and image processing, system identification, optimization, and parameter estimation methods such as Gaussian process regression. Sparsity facilitates exploring high-dimensional spaces while finding parsimonious and interpretable solutions. In the present work, we illustrate some of the important ways in which sparse regression appears in plasma physics and point out recent contributions and remaining challenges to solving these problems in this field. A brief review is provided for the optimization problem and the state-of-the-art solvers, especially for constrained and high-dimensional sparse regression.
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- Award ID(s):
- 2329765
- PAR ID:
- 10440629
- Publisher / Repository:
- American Institute of Physics
- Date Published:
- Journal Name:
- Physics of Plasmas
- Volume:
- 30
- Issue:
- 3
- ISSN:
- 1070-664X
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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