Spike and slab Bayesian sparse principal component analysis (2102.00305v2)

Abstract: Sparse principal component analysis (SPCA) is a popular tool for dimensionality reduction in high-dimensional data. However, there is still a lack of theoretically justified Bayesian SPCA methods that can scale well computationally. One of the major challenges in Bayesian SPCA is selecting an appropriate prior for the loadings matrix, considering that principal components are mutually orthogonal. We propose a novel parameter-expanded coordinate ascent variational inference (PX-CAVI) algorithm. This algorithm utilizes a spike and slab prior, which incorporates parameter expansion to cope with the orthogonality constraint. Besides comparing to two popular SPCA approaches, we introduce the PX-EM algorithm as an EM analogue to the PX-CAVI algorithm for comparison. Through extensive numerical simulations, we demonstrate that the PX-CAVI algorithm outperforms these SPCA approaches, showcasing its superiority in terms of performance. We study the posterior contraction rate of the variational posterior, providing a novel contribution to the existing literature. The PX-CAVI algorithm is then applied to study a lung cancer gene expression dataset. The R package VBsparsePCA with an implementation of the algorithm is available on the Comprehensive R Archive Network (CRAN).