This R code implements the GSPPCA algorithm for high-dimensional unsupervised feature selection.
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GSPPCA.R
README.md
demoGSPPCA.R

README.md

GSPPCA

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

References:

[1] C. Bouveyron, P. Latouche and P.-A. Mattei, Bayesian Variable Selection for Globally Sparse Probabilistic PCA, Electronic Journal of Statistics, in press

[2] 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 [1] rather than [2]. These models simply differ by the parametrization of alpha.

Contact:

pima[at]itu.dk

http://pamattei.github.io