Weighted sparse principal component analysis

Katrijn Van Deun*, Lieven Thorrez, Margherita Coccia, Dicle Hasdemir, Johan A. Westerhuis, Age K. Smilde, Iven Van Mechelen

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

Sparse principal component analysis (SPCA) has been shown to be a fruitful method for the analysis of high-dimensional data. So far, however, no method has been proposed that allows to assign elementwise weights to the matrix of residuals, although this may have several useful applications. We propose a novel SPCA method that includes the flexibility to weight at the level of the elements of the data matrix. The superior performance of the weighted SPCA approach compared to unweighted SPCA is shown for data simulated according to the prevailing multiplicative-additive error model. In addition, applying weighted SPCA to genomewide transcription rates obtained soon after vaccination, resulted in a biologically meaningful selection of variables with components that are associated to the measured vaccine efficacy. The MATLAB implementation of the weighted sparse PCA method is freely available from https://github.com/katrijnvandeun/WSPCA.

Original languageEnglish
Article number103875
JournalChemometrics and Intelligent Laboratory Systems
Volume195
DOIs
Publication statusPublished - 15 Dec 2019
Externally publishedYes

Keywords

  • Elementwise weighted least squares
  • Multiplicative-additive error
  • Sparse principal component analysis

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