An Inexact Manifold Augmented Lagrangian Method for Adaptive Sparse Canonical Correlation Analysis with Trace Lasso Regularization

1 code implementation • 20 Mar 2020 • Kangkang Deng, Zheng Peng

However, in high-dimensional settings where the number of variables exceeds sample size, or in the case of that the variables are highly correlated, the traditional CCA is no longer appropriate.