Canonical Correlation Analysis – An overview with application典型相关分析与应用程序的概述.ppt

Canonical Correlation Analysis: An overview with application to learning methodsBy David R. Hardoon, Sandor Szedmak, John Shawe-TaylorSchool of Electronics and Computer Science, University of SouthamptonPublished in Neural Computaion, 2004 Presented by: Shankar Bhargav Canonical Correlation Analysis Measuring the linear relationship between two multi dimensional variables Finding two sets of basis vectors such that the correlation between the projections of the variables onto these basis vectors is maximized Determine Correlation Coefficients Canonical Correlation Analysis More than one canonical correlations will be found each corresponding to a different set of basis vectors/Canonical variates Correlations between successively extracted canonical variates are smaller and smaller Correlation coefficients : Proportion of correlation between the canonical variates accounted for by the particular variable. Differences with Correlation Not dependent on the coordinate system of variables Finds direction that yield maximum correlations Find basis vectors for two sets of variables x, y such that the correlations between the projections of the variables onto these basis vector Sx = (x.wx) and Sy = (y.wy) ρ = E[Sx Sy ] √ E[Sx2] E[Sy2] ρ = E[(xT wx yT wy)] √E[(xT wx xT wx) ] E[(yT wy yT wy)] ρ = max wx wy E[wxTx yT wy] √E[wxTx xT wx ] E[wyT y yT wy] ρ = max wx wy wxTCxy wy √ wxTCxxwx wyTCyy wy Solving this with constraint wxTCxxwx =1 wyTCyy wy=1 Cxx-1CxyCyy-1Cyx wx = ρ2 wx Cyy-1CyxCxx-1Cxy wy= ρ2 wy Cxy wy = ρλx Cxx wx Cyx wx = ρλy Cyy wy λx=λy-1= wyTCyywy √ wxTCxxwx CCA in Matlab [ A, B, r, U, V ] = canoncorr(x, y) x, y : set of variables in the form of matrices Each row is an observation Each column is an attribute/feature A, B: Matrices containing the correlation coefficient r : Column matrix containing the canonical correlations (Successively decreasing) U, V: Canoni