Regularized Generalized Canonical Correlation Analysis

Regularized generalized canonical correlation analysis (RGCCA) is a generalization of regularized canonical correlation analysis to three or more sets of variables. It constitutes a general framework for many multi-block data analysis methods. It combines the power of multi-block data analysis methods (maximization of well identified criteria) and the flexibility of PLS path modeling (the researcher decides which blocks are connected and which are not). Searching for a fixed point of the stationary equations related to RGCCA, a new monotonically convergent algorithm, very similar to the PLS algorithm proposed by Herman Wold, is obtained. Finally, a practical example is discussed.