Efficient dimensionality reduction for canonical correlation analysis

DOI10.1137/130919222MaRDI QIDQ2940045zbMATH OpenOpenAlexFDO

Authors Haim Avron, Christos Boutsidis, Sivan Toledo, Anastasios Zouzias

Publication date 23 January 2015

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.2185, http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.705.1558

zbMATH Keywords

canonical correlationsdimensionality reductionprincipal anglesrandomized algorithms

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: We present a fast algorithm for approximate Canonical Correlation Analysis (CCA). Given a pair of tall-and-thin matrices, the proposed algorithm first employs a randomized dimensionality reduction transform to reduce the size of the input matrices, and then applies any CCA algorithm to the new pair of matrices. The algorithm computes an approximate CCA to the original pair of matrices with provable guarantees, while requiring asymptotically less operations than the state-of-the-art exact algorithms.

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