Adaptive Canonical Correlation Analysis Based On Matrix Manifolds

Florian Yger, Maxime Berar, Gilles Gasso, Alain Rakotomamonjy

Abstract: In this paper, we formulate the Canonical Correlation Analysis (CCA) problem on matrix manifolds. This framework provides a natural way for dealing with matrix constraints and tools for building efficient algorithms even in an adaptive setting. Finally, an adaptive CCA algorithm is proposed and applied to a change detection problem in EEG signals.