Principal component analysis (PCA) is a well-established tool for making sense of high dimensional data by reducing it to a smaller dimension. Its extension to sparse principal component analysisprincipal component analysis!sparce, which provides a sparse low-dimensional representation of the data, has attracted alot of interest in recent years (see, e.g., [1, 2, 3, 5, 6, 7, 8, 9]). In many app...