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Certifiably optimal sparse principal component analysis

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This paper addresses the sparse principal component analysis (SPCA) problem for covariance matrices in dimension n aiming to find solutions with sparsity k using mixed integer optimization. We propose a tailored branch-and-bound algorithm, Optimal-SPCA, that enables us to solve SPCA to certifiable optimality in seconds for \(n = 100\) s, \(k=10\) s. This same algorithm can be applied to problems with \(n=10{,}000\,\mathrm{s}\) or higher to find high-quality feasible solutions in seconds while taking several hours to prove optimality. We apply our methods to a number of real data sets to demonstrate that our approach scales to the same problem sizes attempted by other methods, while providing superior solutions compared to those methods, explaining a higher portion of variance and permitting complete control over the desired sparsity. The software that was reviewed as part of this submission has been given the DOI (digital object identifier) https://doi.org/10.5281/zenodo.2027898.

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  1. Operations Research Center, Massachusetts Institute of Technology, Cambridge, MA, 02139, USA

    Lauren Berk & Dimitris Bertsimas

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A Overview of the Optimal-SPCA implementation in Julia

A Overview of the Optimal-SPCA implementation in Julia

The linked repository contains an implementation of Optimal-SPCA written in Julia 0.6.0. The latest version of this software is available on GitHub at https://github.com/lauren897/Optimal-SPCA. The Algorithm directory contains the Julia files that comprise the algorithm, and the Data directory contains an example dataset.

In order to run this software, you must install a recent version of Julia from http://julialang.org/downloads/. The most recent version of Julia at the time this code was last tested before publication was Julia 0.6.0.

Two packages must be installed in Julia before the code can be run. These packages are DataFrames, and StatsBase. They can be added by running Pkg.add(“DataFrames”) and Pkg.add(“StatsBase”) respectively.

At this point, the file test.jl should run successfully. To run the script, navigate to the Algorithm directory, and run include(“test.jl”). The script will run Optimal-SPCA on the Pitprops dataset, and then generate an additional random problem and run the algorithm on that problem. It will then identify the first few sparse principal components using Optimal-SPCA sequentially and reporting the cumulative variance explained.

The key method used in the algorithm is is branchAndBound. It takes two required arguments: prob, and k. The variable prob uses a custom type that holds the original data as well as the covariance matrix associated with the problem. (If data is not available, the Cholesky factorization of the covariance matrix will suffice.) The data is presented in an \(m \times n\) array, with \(m\) data points in \(n\) dimensions. The corresponding covariance matrix is \(n \times n\). The parameter k is a positive integer less than \(n\) and represents the desired sparsity.

By default, branchAndBound solves the problem and returns the objective function value, solution vector, and a few performance metrics, including time elapsed and the number of nodes explored. There are many optional parameters, some of which are discussed in detail in our paper. Other parameters have to do with technical aspects of the algorithm, like convergence criteria and resizing arrays. These are commented on in detail in the branchAndBound.jl file where the function is defined.

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Berk, L., Bertsimas, D. Certifiably optimal sparse principal component analysis. Math. Prog. Comp. 11, 381–420 (2019). https://doi.org/10.1007/s12532-018-0153-6

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