Sparse PCA algorithms in Matlab/R.
Main example of sparse eigenvector extraction. The function SparseEigen corresponds to the accelerated IMRP algorithm of the referenced paper.
Reference: K. Benidis, Y. Sun, P. Babu, D.P. Palomar "Orthogonal Sparse PCA and Covariance Estimation via Procrustes Reformulation" IEEE Transactions on Signal Processing, vol 64, Dec. 2016.