tSSNALM: a fast two-stage semi-smooth Newton augmented Lagrangian method for sparse CCA

DOI10.1016/j.amc.2020.125272OpenAlexW3027789654MaRDI QIDQ2189837

Ying Yang, Lingchen Kong, Xianchao Xiu, Wanquan Liu

Publication date: 17 June 2020

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2020.125272

zbMATH Keywords

dualityaugmented Lagrangian methodsemi-smooth Newtonsparse canonical correlation analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Measures of association (correlation, canonical correlation, etc.) (62H20)

Uses Software

• SNOPT
• PMA

Cites Work

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