SPEV
Unsmoothed and Smoothed Penalized PCA using Nesterov Smoothing
Last update: 17 August 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.0.0
We provide functionality to implement penalized PCA with an option to smooth the objective function using Nesterov smoothing. Two functions are available to compute a user-specified number of eigenvectors. The function unsmoothed_penalized_EV() computes a penalized PCA without smoothing and has three parameters (the input matrix, the Lasso penalty, and the number of desired eigenvectors). The function smoothed_penalized_EV() computes a smoothed penalized PCA using the same parameters and additionally requires the specification of a smoothing parameter. Both functions return a matrix having the desired eigenvectors as columns.
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