RobustOptimizationandApplications.pptVIP

Part 4: Sparsity in Unsupervised Learning Unsupervised learning Sparse PCA: outline Principal Component Analysis PCA for visualization First principal component Sparse PCA: outline Why sparse factors? PCA: rank-one case sparse PCA: rank-one case Sparse PCA: outline SDP relaxation SDP relaxation Dual problem Sparsity and robustness Sparse PCA decomposition? Sparse PCA: outline First-order algorithm Sparse PCA: outline PITPROPS data PITPROPS data: numerical results Financial example Covariance matrix Second factor Gene expression data Clustering of gene expression data Conclusions on sparse PCA Part 4: Sparsity in Unsupervised Learning Sparse Gaussian networks: outline Gaussian network problem Correlation-based approach Approach based on the precision matrix Example Relevance network vs. graphical model Can we check this? Sparse inverse covariance and conditional independence Related work Maximum-likelihood estimation Problems with ordinary MLE MLE with cardinality penalty Convex relaxation Link with robustness Properties of estimate Algorithms: challenges First- vs. second-order algorithms Black- vs. grey-box first-order algorithms Algorithms: problem structure Nesterov’s smooth minimization algorithm Nesterov’s method Putting the problem in Nesterov’s format Making the problem smooth Optimal scheme for smooth minimization Application to our problem Dual block-coordinate descent Properties of dual block-coordinate descent Link with LASSO Example Inverse covariance estimates Average error on zeros Computing time Classification error Recovering structure Part 4: summary References * Robust Optimization andApplications in Machine Learning *