Sparse Generalized Eigenvalue Problem: Optimal Statistical Rates via Truncated Rayleigh Flow

29 Apr 2016Kean Ming TanZhaoran WangHan LiuTong Zhang

Sparse generalized eigenvalue problem (GEP) plays a pivotal role in a large family of high-dimensional statistical models, including sparse Fisher's discriminant analysis, canonical correlation analysis, and sufficient dimension reduction. Sparse GEP involves solving a non-convex optimization problem... (read more)

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