CUR from a Sparse Optimization Viewpoint
Abstract
The CUR decomposition provides an approximation of a matrix X that has low reconstruction error and that is sparse in the sense that the resulting approximation lies in the span of only a few columns of X. In this regard, it appears to be similar to many sparse PCA methods. However, CUR takes a randomized algorithmic approach whereas most sparse PCA methods are framed as convex optimization problems. In this paper, we try to understand CUR from a sparse optimization viewpoint. In particular, we show that CUR is implicitly optimizing a sparse regression objective and, furthermore, cannot be directly cast as a sparse PCA method. We observe that the sparsity attained by CUR possesses an interesting structure, which leads us to formulate a sparse PCA method that achieves a CUR-like sparsity.