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Bayesian canonical correlation analysis

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If you have a question about this talk, please contact Zoubin Ghahramani.

Canonical correlation analysis (CCA) is a classical method for seeking correlations between two multivariate data sets. During the last ten years, it has received more and more attention in the machine learning community in the form of novel computational formulations and a plethora of applications. Bayesian treatments of CCA -type latent variable models have been recently proposed for coping with overfitting in small sample sizes, as well as for producing factorizations of the data sources into correlated and non-shared effects. However, all of the current implementations of Bayesian CCA and its extensions are computationally inefficient for high-dimensional data. Furthermore, they cannot reliably separate the correlated effects from non-shared ones. We propose a new Bayesian CCA variant that is computationally efficient and works for high-dimensional data, while also learning the factorization more accurately. The improvements are gained by introducing a group sparsity assumption and an improved variational approximation. The method is demonstrated to work well on multi-label prediction tasks and in analyzing brain correlates of naturalistic audio stimulation.

This talk is part of the Machine Learning @ CUED series.

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