This R code implements the GSPPCA algorithm for high-dimensional unsupervised feature selection. The relevant functions are provided in the GSPPCA.R file and a little demo is in the demoGSPPCA.R file
 C. Bouveyron, P. Latouche and P.-A. Mattei, Bayesian Variable Selection for Globally Sparse Probabilistic PCA, Electronic Journal of Statistics, in press
 P.-A. Mattei, C. Bouveyron and P. Latouche, Globally Sparse Probabilistic PCA, Proc. AISTATS 2016, pp. 976-984
IMPORTANT REMARK: we use the model described in  rather than . These models simply differ by the parametrization of alpha.