Efficient Dimensionality Reduction for Canonical Correlation Analysis

@inproceedings{Avron2013EfficientDR,
  title={Efficient Dimensionality Reduction for Canonical Correlation Analysis},
  author={Haim Avron and Christos Boutsidis and Sivan Toledo and Anastasios Zouzias},
  booktitle={ICML},
  year={2013}
}
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… CONTINUE READING