Two-Step Semidefinite Programming approach to clustering and dimensionality reduction
Inspired by the recently proposed statistical technique called clustering and disjoint principal component analysis (CDPCA), we present in this paper a new algorithm for clustering objects and dimensionality reduction, based on Semidefinite Programming (SDP) models. The Two-Step-SDP algorithm is based on SDP relaxations of two clustering problems and on a K-means step in a reduced space. The Two-Step-SDP algorithm was implemented and tested in R, a widely used open source software. Besides returning clusters of both objects and attributes, the Two-Step-SDP algorithm returns the variance explained by each component and the component loadings. The numerical experiments on different data sets show that the algorithm is quite efficient and fast. Comparing to other known iterative algorithms for clustering, namely, the K-means and ALS algorithms, the computational time of the Two-Step-SDP algorithm is comparable to the K-means algorithm, and it is faster than the ALS algorithm.
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