New MIP estimator for sparse PCA under spiked covariance model with statistical guarantees and custom solver scaling to 20,000 features.
Conditional gradient algorithms for rank-one matrix approximations with a sparsity constraint
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Sparse PCA: A New Scalable Estimator Based On Integer Programming
New MIP estimator for sparse PCA under spiked covariance model with statistical guarantees and custom solver scaling to 20,000 features.