The Generalized Eigenvalue Problem as a Nash Equilibrium. (arXiv:2206.04993v1 [cs.LG])

The generalized eigenvalue problem (GEP) is a fundamental concept in
numerical linear algebra. It captures the solution of many classical machine
learning problems such as canonical correlation analysis, independent
components analysis, partial least squares, linear discriminant analysis,
principal components, successor features and others. Despite this, most general
solvers are prohibitively expensive when dealing with massive data sets and
research has instead concentrated on finding efficient solutions to specific
problem instances. In this work, we develop a game-theoretic formulation of the …

arxiv eigenvalue equilibrium lg nash equilibrium