Solving Large-Scale Sparse PCA to Certifiable (Near) Optimality
Dimitris Bertsimas, Ryan Cory-Wright, Jean Pauphilet; 23(13):1−35, 2022.
Sparse principal component analysis (PCA) is a popular dimensionality reduction technique for obtaining principal components which are linear combinations of a small subset of the original features. Existing approaches cannot supply certifiably optimal principal components with more than $p=100s$ of variables. By reformulating sparse PCA as a convex mixed-integer semidefinite optimization problem, we design a cutting-plane method which solves the problem to certifiable optimality at the scale of selecting $k=5$ covariates from $p=300$ variables, and provides small bound gaps at a larger scale. We also propose a convex relaxation and greedy rounding scheme that provides bound gaps of $1-2\%$ in practice within minutes for $p=100$s or hours for $p=1,000$s and is therefore a viable alternative to the exact method at scale. Using real-world financial and medical data sets, we illustrate our approach's ability to derive interpretable principal components tractably at scale.
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