The Variational Bayesian Method for Sparse PCA

Contains functions for a variational Bayesian method for sparse PCA proposed by Ning (2020) . There are two algorithms: the PX-CAVI algorithm (if assuming the loadings matrix is jointly row-sparse) and the batch PX-CAVI algorithm (if without this assumption). The outputs of the main function, VBsparsePCA(), include the mean and covariance of the loadings matrix, the score functions, the variable selection results, and the estimated variance of the random noise.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("VBsparsePCA")

0.1.0 by Bo (Yu-Chien) Ning, 2 months ago


Browse source code at https://github.com/cran/VBsparsePCA


Authors: Bo (Yu-Chien) Ning


Documentation:   PDF Manual  


GPL-3 license


Imports MASS, pracma, stats, utils


See at CRAN