Penalized Model-Based Clustering with Application to Variable Selection

  • Authors:
  • Wei Pan;Xiaotong Shen

  • Affiliations:
  • -;-

  • Venue:
  • The Journal of Machine Learning Research
  • Year:
  • 2007

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Abstract

Variable selection in clustering analysis is both challenging and important. In the context of model-based clustering analysis with a common diagonal covariance matrix, which is especially suitable for "high dimension, low sample size" settings, we propose a penalized likelihood approach with an L1 penalty function, automatically realizing variable selection via thresholding and delivering a sparse solution. We derive an EM algorithm to fit our proposed model, and propose a modified BIC as a model selection criterion to choose the number of components and the penalization parameter. A simulation study and an application to gene function prediction with gene expression profiles demonstrate the utility of our method.