10 papers
msPCA: An R Package for Sparse PCA with Multiple Components
Ryan Cory-Wright, Jean Pauphilet
We present msPCA: an open-source R package for sparse principal component analysis with multiple components. It implements an alternating maximization algorithm to generate a set o…
Efficient Cross-Validation for Sparse Linear Regression
Ryan Cory-Wright, Andrés Gómez
Given a high-dimensional covariate matrix and a response vector, ridge-regularized sparse linear regression selects a subset of features that explains the relationship between cova…
Compact Lifted Relaxations for Low-Rank Optimization
Ryan Cory-Wright, Jean Pauphilet
We develop tractable convex relaxations for rank-constrained quadratic optimization problems over matrices, a setting for which tractable relaxations are typically onl…
Improved Approximation Algorithms for Orthogonally Constrained Problems Using Semidefinite Optimization
Ryan Cory-Wright, Jean Pauphilet
Building on the blueprint from Goemans and Williamson (1995) for the Max-Cut problem, we construct a polynomial-time approximation algorithm for orthogonally constrained quadratic…
Disjunctive Branch-and-Bound for Certifiably Optimal Low-Rank Matrix Completion
Dimitris Bertsimas, Ryan Cory-Wright, Sean Lo +1
Low-rank matrix completion consists of computing a matrix of minimal complexity that recovers a given set of observations as accurately as possible. Unfortunately, existing methods…
Pricing Discrete and Nonlinear Markets With Semidefinite Relaxations
Cheng Guo, Lauren Henderson, Ryan Cory-Wright +1
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitmen…