作者：Tan, Kean Ming; Wang, Zhaoran; Liu, Han; Zhang, Tong
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Northwestern University
摘要：The sparse generalized eigenvalue problem (GEP) plays a pivotal role in a large family of high dimensional statistical models, including sparse Fisher's discriminant analysis, canonical correlation analysis and sufficient dimension reduction. The sparse GEP involves solving a non-convex optimization problem. Most existing methods and theory in the context of specific statistical models that are special cases of the sparse GEP require restrictive structural assumptions on the input matrices. We...
