Sparse Generalized Canonical Correlation Analysis: Distributed Alternating Iteration-Based Approach

Sparse canonical correlation analysis (CCA) is a useful statistical tool to detect latent information with sparse structures. However, sparse CCA, where the sparsity could be considered as a Laplace prior on the canonical variates, works only for two data sets, that is, there are only two views or two distinct objects. To overcome this limitation, we propose a sparse generalized canonical correlation analysis (GCCA), which could detect the latent relations of multiview data with sparse structures. Specifically, we convert the GCCA into a linear system of equations and impose ℓ1 minimization penalty to pursue sparsity. This results in a nonconvex problem on the Stiefel manifold. Based on consensus optimization, a distributed alternating iteration approach is developed, and consistency is investigated elaborately under mild conditions. Experiments on several synthetic and real-world data sets demonstrate the effectiveness of the proposed algorithm.