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http://dx.doi.org/10.5351/CKSS.2003.10.3.1025

A Penalized Principal Component Analysis using Simulated Annealing  

Park, Chongsun (Department of Statistics, Sungkyunkwan University)
Moon, Jong Hoon (Department of Statistics, Sungkyunkwan University)
Publication Information
Communications for Statistical Applications and Methods / v.10, no.3, 2003 , pp. 1025-1036 More about this Journal
Abstract
Variable selection algorithm for principal component analysis using penalty function is proposed. We use the fact that usual principal component problem can be expressed as a maximization problem with appropriate constraints and we will add penalty function to this maximization problem. Simulated annealing algorithm is used in searching for optimal solutions with penalty functions. Comparisons between several well-known penalty functions through simulation reveals that the HARD penalty function should be suggested as the best one in several aspects. Illustrations with real and simulated examples are provided.
Keywords
Principal Component Analysis; Penalty Function; Simulated Annealing;
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