Doubly Accelerated Methods for Faster CCA and Generalized Eigendecomposition

Abstract

We study k-GenEV, the problem of finding the top k generalized eigenvectors, and k-CCA, the problem of finding the top k vectors in canonical-correlation analysis. We propose algorithms LazyEV and LazyCCA to solve the two problems with running times linearly dependent on the input size and on k. Furthermore, our algorithms are