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We investigate three algorithms that use the sparse matrix transform (SMT) to produce variance-maximizing linear projections to a lower-dimensional space. The SMT expresses the projection as a sequence of Givens rotations and this enables computationally efficient implementation of the projection operator. The baseline algorithm uses the SMT to directly approximate the optimal solution that is given by principal components analysis (PCA). A variant of the baseline begins with a standard SMT solution, but prunes the sequence of Givens rotations to only include those that contribute to the variance maximization. Finally, a simpler and faster third algorithm is introduced; this also estimates the projection operator with a sequence of Givens rotations, but in this case, the rotations are chosen to optimize a criterion that more directly expresses the dimension reduction criterion.
Date of Conference: 25-30 July 2010