A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis

We present a penalized matrix decomposition (PMD), a new framework for computing a rank-K approximation for a matrix. We approximate the matrix X as circumflexX = sigma(k=1)(K) d(k)u(k)v(k)(T), where d(k), u(k), and v(k) minimize the squared Frobenius norm of X - circumflexX, subject to penalties on u(k) and v(k). This results in a regularized version of the singular value decomposition. Of particular interest is the use of L(1)-penalties on u(k) and v(k), which yields a decomposition of X using sparse vectors. We show that when the PMD is applied using an L(1)-penalty on v(k) but not on u(k), a method for sparse principal components results. In fact, this yields an efficient algorithm for the "SCoTLASS"…