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Tensor maximal correlation problems

Author

Listed:
  • Anwa Zhou

    (Shanghai University)

  • Xin Zhao

    (Shanghai Jiao Tong University)

  • Jinyan Fan

    (Shanghai Jiao Tong University)

  • Yanqin Bai

    (Shanghai University)

Abstract

This paper studies the tensor maximal correlation problem, which aims at optimizing correlations between sets of variables in many statistical applications. We reformulate the problem as an equivalent polynomial optimization problem, by adding the first order optimality condition to the constraints, then construct a hierarchy of semidefinite relaxations for solving it. The global maximizers of the problem can be detected by solving a finite number of such semidefinite relaxations. Numerical experiments show the efficiency of the proposed method.

Suggested Citation

  • Anwa Zhou & Xin Zhao & Jinyan Fan & Yanqin Bai, 2018. "Tensor maximal correlation problems," Journal of Global Optimization, Springer, vol. 70(4), pages 843-858, April.
    • Handle: RePEc:spr:jglopt:v:70:y:2018:i:4:d:10.1007_s10898-017-0592-z
    DOI: 10.1007/s10898-017-0592-z
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    References listed on IDEAS

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