A simple and provable algorithm for sparse diagonal CCA

29 May 2016Megasthenis AsterisAnastasios KyrillidisOluwasanmi KoyejoRussell Poldrack

Given two sets of variables, derived from a common set of samples, sparse Canonical Correlation Analysis (CCA) seeks linear combinations of a small number of variables in each set, such that the induced canonical variables are maximally correlated. Sparse CCA is NP-hard... (read more)

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