An Information-Theoretic Framework for Non-linear Canonical Correlation Analysis

Canonical Correlation Analysis (CCA) is a linear representation learning method that seeks maximally correlated variables in multi-view data. Non-linear CCA extends this notion to a broader family of transformations, which are more powerful for many real-world applications. Given the joint probability, the Alternating Conditional Expectation (ACE) provides an optimal solution to the non-linear CCA problem. However, it suffers from limited performance and an increasing computational burden when only a finite number of observations is available. In this work we introduce an information-theoretic framework for the non-linear CCA problem (ITCCA), which extends the classical ACE approach. Our suggested framework seeks compressed representations of the data that allow a maximal level of correlation. This way we control the trade-off between the flexibility and the complexity of the representation. Our approach demonstrates favorable performance at a reduced computational burden, compared to non-linear alternatives, in a finite sample size regime. Further, ITCCA provides theoretical bounds and optimality conditions, as we establish fundamental connections to rate-distortion theory, the information bottleneck and remote source coding. In addition, it implies a "soft" dimensionality reduction, as the compression level is measured (and governed) by the mutual information between the original noisy data and the signals that we extract.