Sparse Generalized Eigenvalue Problem

Implements the algorithms for solving sparse generalized eigenvalue problem by Tan, et. al. (2018). Sparse Generalized Eigenvalue Problem: Optimal Statistical Rates via Truncated Rayleigh Flow. To appear in Journal of the Royal Statistical Society: Series B. .


Reference manual

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1.0 by Kean Ming Tan, 3 years ago

Browse source code at

Authors: Kean Ming Tan

Documentation:   PDF Manual  

GPL (>= 2) license

Depends on MASS

Depended on by EESPCA.

See at CRAN