Abstract:Nowadays, more and more datasets are stored in a distributed way for the sake of memory storage or data privacy. The generalized eigenvalue problem (GEP) plays a vital role in a large family of high-dimensional statistical models. However, the existing distributed method for eigenvalue decomposition cannot be applied in GEP for the divergence of the empirical covariance matrix.Here we propose a general distributed GEP framework with one-shot communication for GEP. If the symmetric data covariance has repeated … Show more
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