Stay on path: PCA along graph paths.

Megasthenis Asteris, Anastasios Kyrillidis, Alexandros G. Dimakis, Han-Gyol Yi, Bharath Chandrasekaran

Abstract: We introduce a variant of (sparse) PCA in which the set of feasible support sets is determined by a graph. In particular, we consider the following setting: given a directed acyclic graph G on p ve...