Feature grouping and sparse principal component analysis with truncated regularization.

We propose a new method for principal component analysis (PCA) called feature grouping and sparse principal component analysis (FGSPCA). This method is designed to capture both grouping and sparsity structures in factor loadings simultaneously. To achieve this, we use a non‐convex truncated regularization that can adjust for sparsity and grouping effects automatically. This regularization encourages factor loadings with similar values to be either grouped together for feature grouping or be zero for feature selection, helping to reduce model complexity and improve interpretation. While other structured PCA methods often require prior knowledge to construct the regularization term, FGSPCA can capture grouping and sparsity structures without any prior information. We solve the resulting non‐convex optimization problem using an alternating algorithm that combines difference‐of‐convex programming, the augmented Lagrange method, and coordinate descent method. Our experiments show that FGSPCA performs well and efficiently on both synthetic and real‐world datasets. An implementation of FGSPCA is available on GitHub https://github.com/HaiyanJiang/FGSPCA. [ABSTRACT FROM AUTHOR]