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

DOI10.48550/arXiv.1604.08697zbMath1407.62212arXiv1604.08697MaRDI QIDQ148604

Kean Ming Tan, Zhaoran Wang, Han Liu, Tong Zhang, Tong Zhang, Han Liu, Zhaoran Wang, Kean Ming Tan

Publication date: 29 April 2016

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.08697

zbMATH Keywords

non-convex optimization; convex relaxation; sparse sufficient dimension reduction; sparse canonical correlation analysis; sparse Fisher's discriminant analysis

Mathematics Subject Classification ID

62P10: Applications of statistics to biology and medical sciences; meta analysis

62H20: Measures of association (correlation, canonical correlation, etc.)

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