Stochastic Approximation for Canonical Correlation Analysis

02/22/2017

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by   Raman Arora, et al.

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We study canonical correlation analysis (CCA) as a stochastic optimization problem. We show that regularized CCA is efficiently PAC-learnable. We give stochastic approximation (SA) algorithms that are instances of stochastic mirror descent, which achieve ϵ-suboptimality in the population objective in time poly(1/ϵ,1/δ,d) with probability 1-δ, where d is the input dimensionality.