A least squares formulation for canonical correlation analysis

  • Authors:
  • Liang Sun;Shuiwang Ji;Jieping Ye

  • Affiliations:
  • Arizona State University, Tempe, AZ;Arizona State University, Tempe, AZ;Arizona State University, Tempe, AZ

  • Venue:
  • Proceedings of the 25th international conference on Machine learning
  • Year:
  • 2008

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Abstract

Canonical Correlation Analysis (CCA) is a well-known technique for finding the correlations between two sets of multi-dimensional variables. It projects both sets of variables into a lower-dimensional space in which they are maximally correlated. CCA is commonly applied for supervised dimensionality reduction, in which one of the multi-dimensional variables is derived from the class label. It has been shown that CCA can be formulated as a least squares problem in the binaryclass case. However, their relationship in the more general setting remains unclear. In this paper, we show that, under a mild condition which tends to hold for high-dimensional data, CCA in multi-label classifications can be formulated as a least squares problem. Based on this equivalence relationship, we propose several CCA extensions including sparse CCA using 1-norm regularization. Experiments on multi-label data sets confirm the established equivalence relationship. Results also demonstrate the effectiveness of the proposed CCA extensions.