Combinatorial Sparse PCA Beyond the Spiked Identity Model
arXiv:2603.02607v1 Announce Type: new Abstract: Sparse PCA is one of the most well-studied problems in high-dimensional statistics. In this problem, we are given samples from a distribution with covariance $Sigma$, whose top eigenvector $v in R^d$ is $s$-sparse. Existing sparse PCA algorithms can be broadly categorized into (1) combinatorial algorithms (e.g., diagonal or elementwise covariance thresholding) and (2) SDP-based algorithms. While combinatorial algorithms are much simpler, they are typically only analyzed under the spiked identity model (where $Sigma […]