Laura Balzano

Laura Balzano August 25, 2021

# HePPCAT in TSP

Our work on heteroscedastic PCA continues with our article “HePPCAT: Probabilistic PCA for Data with Heteroscedastic Noise,” published in IEEE Transactions on Signal Processing. In this paper we developed novel ascent algorithms to maximize the heteroscedastic PCA likelihood, simultaneously estimating the principal components and the heteroscedastic noise variances. We show a compelling application to air quality data, where it is common to have data both from sensors that are high-quality EPA instruments and others that are consumer grade. Code for the paper experiments is available at https://gitlab.com/heppcat-group, and the HePPCAT method is available as a registered Julia package. Congratulations to my student Kyle Gilman, former student David Hong, and colleague Jeff Fessler.

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