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.


Reference manual

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0.1.0 by Bo (Yu-Chien) Ning, a year ago

Browse source code at

Authors: Bo (Yu-Chien) Ning

Documentation:   PDF Manual  

GPL-3 license

Imports MASS, pracma, stats, utils

Suggested by embed.

See at CRAN