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Computational aspects of algorithms for variable selection in the context of principal components. (English) Zbl 1429.62216
Summary: Variable selection consists in identifying a \(k\)-subset of a set of original variables that is optimal for a given criterion of adequate approximation to the whole data set. Several algorithms for the optimization problems resulting from three different criteria in the context of principal components analysis are considered, and computational results are presented.

MSC:
62H25 Factor analysis and principal components; correspondence analysis
62-08 Computational methods for problems pertaining to statistics
90C59 Approximation methods and heuristics in mathematical programming
Software:
R; SoDA
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