This repository contains a MatLab function for solving the sparse Principal Component Analysis (PCA) problem.
The precise definition of the problem and the description of the algorithm can be found in the paper:
A. Beck, Y. Vaisbourd. The Sparse Principal Component Analysis Problem: Optimality Conditions and Algorithms. J. Optim. Theory Appl., 170(1) (2016), 119-143.
Further information is given in guide_CW_PCA.pdf.