• Corpus ID: 211011308

# Gen-Oja: A Two-time-scale approach for Streaming CCA

@article{Bhatia2018GenOjaAT,
title={Gen-Oja: A Two-time-scale approach for Streaming CCA},
author={Kush Bhatia and Aldo Pacchiano and Nicolas Flammarion and Peter L. Bartlett and Michael I. Jordan},
journal={arXiv: Learning},
year={2018}
}
• Published 20 November 2018
• Computer Science, Mathematics
• arXiv: Learning
In this paper, we study the problems of principal Generalized Eigenvector computation and Canonical Correlation Analysis in the stochastic setting. We propose a simple and efficient algorithm, Gen-Oja, for these problems. We prove the global convergence of our algorithm, borrowing ideas from the theory of fast-mixing Markov chains and two-time-scale stochastic approximation, showing that it achieves the optimal rate of convergence. In the process, we develop tools for understanding stochastic…
1 Citations
Incremental Canonical Correlation Analysis
• Computer Science
Applied Sciences
• 2020
An incremental canonical correlation analysis is proposed, which maintains in an adaptive manner a constant memory storage for both the mean and covariance matrices and saves overhead time by using sequential singular value decomposition (SVD), which is still efficient in case when the number of samples is sufficiently few.

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