A Newton Interior-Point Method for $\ell_0$ Factor Analysis

Abstract: Factor Analysis is an effective way of dimensionality reduction achieved by revealing the low-rank plus sparse structure of the data covariance matrix. The corresponding model identification task is often formulated as an optimization problem with suitable regularizations. In particular, we use the nonconvex discontinuous $\ell_0$ norm in order to induce the sparsity of the covariance matrix of the idiosyncratic noise. This paper shows that such a challenging optimization problem can be approached via an interior-point method with inner-loop Newton iterations. To this end, we first characterize the solutions to the unconstrained $\ell_0$ regularized optimization problem through the $\ell_0$ proximal operator, and demonstrate that local optimality is equivalent to the solution of a stationary-point equation. The latter equation can then be solved using standard Newton's method, and the procedure is integrated into an interior-point algorithm so that inequality constraints of positive semidefiniteness can be handled. Finally, numerical examples validate the effectiveness of our algorithm.