Nonnegative Sparse PCA

TLDR: A simple yet efficient iterative coordinate-descent type of scheme which converges to a local optimum of the optimization criteria, giving good results on large real world datasets.

Abstract: We describe a nonnegative variant of the "Sparse PCA" problem. The goal is to create a low dimensional representation from a collection of points which on the one hand maximizes the variance of the projected points and on the other uses only parts of the original coordinates, and thereby creating a sparse representation. What distinguishes our problem from other Sparse PCA formulations is that the projection involves only nonnegative weights of the original coordinates — a desired quality in various fields, including economics, bioinformatics and computer vision. Adding nonnegativity contributes to sparseness, where it enforces a partitioning of the original coordinates among the new axes. We describe a simple yet efficient iterative coordinate-descent type of scheme which converges to a local optimum of our optimization criteria, giving good results on large real world datasets.