On the Quality of a Semidefinite Programming Bound for Sparse Principal Component Analysis

We examine the problem of approximating a positive, semidefinite matrix $\Sigma$ by a dyad $xx^T$, with a penalty on the cardinality of the vector $x$. This problem arises in sparse principal component analysis, where a decomposition of $\Sigma$ involving sparse factors is sought. We express this hard, combinatorial problem as a maximum eigenvalue problem, in … Read more