GSPPCA
This R code implements the GSPPCA algorithm for high-dimensional unsupervised feature selection. The relevant functions are provided in the GSPPCAfunctions.R file and a little demo is in the demoGSPPCA.R file
References:
[1] P.-A. Mattei, C. Bouveyron and P. Latouche, Globally Sparse Probabilistic PCA, Proc. AISTATS 2016, pp. 976-984
[2] C. Bouveyron, P. Latouche and P.-A. Mattei, Bayesian Variable Selection for Globally Sparse Probabilistic PCA, HAL preprint 01310409
IMPORTANT REMARK: we use the model described in [2] rather than [1]. These models simply differ by the parametrization of alpha.
Contact:
pierre-alexandre.mattei[at]parisdescartes.fr