msPCA - Sparse Principal Component Analysis with Multiple Principal
Components
Implements an algorithm for computing multiple sparse
principal components of a dataset. The method is based on
Cory-Wright and Pauphilet "Sparse PCA with Multiple Principal
Components" (2026) <doi:10.48550/arXiv.2209.14790>. The
algorithm uses an iterative deflation heuristic with a
truncated power method applied at each iteration to compute
sparse principal components with controlled sparsity.