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large scale canonical correlation analysis with iterative least squares
Yichao Lu · Dean P Foster

Thu Dec 11 11:00 AM -- 03:00 PM (PST) @ Level 2, room 210D #None

Canonical Correlation Analysis (CCA) is a widely used statistical tool with both well established theory and favorable performance for a wide range of machine learning problems. However, computing CCA for huge datasets can be very slow since it involves implementing QR decomposition or singular value decomposition of huge matrices. In this paper we introduce L-CCA, an iterative algorithm which can compute CCA fast on huge sparse datasets. Theory on both the asymptotic convergence and finite time accuracy of L-CCA are established. The experiments also show that L-CCA outperform other fast CCA approximation schemes on two real datasets.

Author Information

Yichao Lu (University of Pennsylvania)
Dean P Foster (University of Pennsylvania)

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