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sparseEigen: Computation of Sparse Eigenvectors of a Matrix

Computation of sparse eigenvectors of a matrix (aka sparse PCA) with running time 2-3 orders of magnitude lower than existing methods and better final performance in terms of recovery of sparsity pattern and estimation of numerical values. Can handle covariance matrices as well as data matrices with real or complex-valued entries. Different levels of sparsity can be specified for each individual ordered eigenvector and the method is robust in parameter selection. See vignette for a detailed documentation and comparison, with several illustrative examples. The package is based on the paper: K. Benidis, Y. Sun, P. Babu, and D. P. Palomar (2016). "Orthogonal Sparse PCA and Covariance Estimation via Procrustes Reformulation," IEEE Transactions on Signal Processing <doi:10.1109/TSP.2016.2605073>.

Version: 0.1.0
Depends: R (≥ 3.4.0)
Suggests: knitr, MASS, rmarkdown, testthat
Published: 2017-12-21
DOI: 10.32614/CRAN.package.sparseEigen
Author: Konstantinos Benidis [aut], Daniel P. Palomar [cre, aut]
Maintainer: Daniel P. Palomar <daniel.p.palomar at gmail.com>
BugReports: https://github.com/dppalomar/sparseEigen/issues
License: GPL-3 | file LICENSE
URL: https://github.com/dppalomar/sparseEigen, https://www.danielppalomar.com, https://doi.org/10.1109/TSP.2016.2605073
NeedsCompilation: no
Citation: sparseEigen citation info
Materials: README NEWS
CRAN checks: sparseEigen results

Documentation:

Reference manual: sparseEigen.pdf
Vignettes: Computation of sparse eigenvectors or sparse PCA

Downloads:

Package source: sparseEigen_0.1.0.tar.gz
Windows binaries: r-devel: sparseEigen_0.1.0.zip, r-release: sparseEigen_0.1.0.zip, r-oldrel: sparseEigen_0.1.0.zip
macOS binaries: r-release (arm64): sparseEigen_0.1.0.tgz, r-oldrel (arm64): sparseEigen_0.1.0.tgz, r-release (x86_64): sparseEigen_0.1.0.tgz, r-oldrel (x86_64): sparseEigen_0.1.0.tgz

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.