Scalable and flexible Max-Var generalized canonical correlation analysis via alternating optimization

Unlike dimensionality reduction (DR) tools for single-view data, e.g., principal component analysis (PCA), canonical correlation analysis (CCA) and generalized CCA (GCCA) are able to integrate information from multiple feature spaces of data. This is critical in multi-modal data fusion and analytics, where samples from a single view may not be enough for meaningful DR. In this work, we focus on a popular formulation of GCCA, namely, MAX-VAR GCCA. The classic MAX-VAR problem is optimally solvable via eigen-decomposition, but this solution has serious scalability issues. In addition, how to impose regularizers on the sought canonical components was unclear - while structure-promoting regularizers are often desired in practice. We propose an algorithm that can easily handle datasets whose sample and feature dimensions are both large by exploiting data sparsity. The algorithm is also flexible in incorporating regularizers on the canonical components. Convergence properties of the proposed algorithm are carefully analyzed. Numerical experiments are presented to showcase its effectiveness.