Graph explorer

Graph Regularized PCA

High-dimensional data often exhibit dependencies among variables that violate the isotropic-noise assumption under which principal component analysis (PCA) is optimal. For cases where the noise is not independent and identically distributed across features (i.e., the covariance is not spherical) we introduce Graph Regularized PCA (GR-PCA). It is a graph-based regularization of PCA that incorporates the dependency structure of the data features by learning a sparse precision graph and biasing loadings toward the low-frequency Fourier modes of the corresponding graph Laplacian. Consequently, high-frequency signals are suppressed, while graph-coherent low-frequency ones are preserved, yielding interpretable principal components aligned with conditional relationships. We evaluate GR-PCA on synthetic data spanning diverse graph topologies, signal-to-noise ratios, and sparsity levels. Compared to mainstream alternatives, it concentrates variance on the intended support, produces loadings with lower graph-Laplacian energy, and remains competitive in out-of-sample reconstruction. When high-frequency signals are present, the graph Laplacian penalty prevents overfitting, reducing the reconst