most citedA direct formulation for sparse PCA using semidefinite programming

125 citations · 136 across the 2 of their papers we have counts for

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cs.CE2005★ 11 cited

Sparse Covariance Selection via Robust Maximum Likelihood Estimation

Onureena Banerjee, Alexandre d'Aspremont, Laurent El Ghaoui

We address a problem of covariance selection, where we seek a trade-off between a high likelihood against the number of non-zero elements in the inverse covariance matrix. We solve…

cs.CE2004★ 125 cited

A direct formulation for sparse PCA using semidefinite programming

Alexandre d'Aspremont, Laurent El Ghaoui, Michael I. Jordan +1

We examine the problem of approximating, in the Frobenius-norm sense, a positive, semidefinite symmetric matrix by a rank-one matrix, with an upper bound on the cardinality of its…