Abstract:We propose a new method for principal component analysis (PCA) called feature grouping and sparse principal component analysis (FGSPCA). This method is designed to capture both grouping and sparsity structures in factor loadings simultaneously. To achieve this, we use a non‐convex truncated regularization that can adjust for sparsity and grouping effects automatically. This regularization encourages factor loadings with similar values to be either grouped together for feature grouping or be zero for feature se… Show more
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