Authors: Antonio Briola, Marwin Schmidt, Fabio Caccioli, Carlos Ros Perez, James Singleton, Christian Michler, Tomaso Aste
Organizations: 1Shell Information Technology Limited, London, SE1 7NA, UK · University College London, Department of Computer Science, London, WC1E 6EA, UK · 4Systemic Risk Centre, London School of Economics and Political Sciences, London, WC2A 2AE, UK · 2Shell Information Technology International B.V., The Hague, 2596 HR, Netherlands
Multivariate data often exhibit complex dependencies that violate the assumption of isotropic residual noise. For such cases, 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 reconstruction accuracy but improving structural fidelity. The advantage over PCA is most pronounced when high-frequency signals are graph-correlated, whereas PCA remains competitive when such signals are nearly rotationally invariant. The procedure is simple to implement, modular with respect to the precision estimator, and scalable, providing a practical route to structure-aware dimensionality reduction that improves structural fidelity without sacrificing predictive performance.