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Assume I have two neural networks, abstracted as two feature maps, parametrized by $\theta_x,\theta_y$ respectively. $\phi_x(x;\theta_x) \in \mathbb{R}^{h_1}$, $\phi_y(x;\theta_y) \in \mathbb{R}^{h_2}$ and we would like to perform canonical correlation analysis on the results of those feature maps, which means we want to maximize:

$$\max_{\theta_x, \theta_y, w_x, w_y} w_x^T C_{xy} w_y + \alpha [\text{min} (0, 1 - w_x^T C_{xx} w_x) + \text{min}(0, 1 - w_y^T C_{yy} w_y)] $$

where $C_{xy} = \mathbb{E}[\phi_x \phi_y^T]$, $C_{xx} = \mathbb{E}[\phi_x\phi_x^T]$, $C_{yy} = \mathbb{E}[\phi_y \phi_y^T]$

I now have to calculate the gradient of this function w.r.t. $\theta_x$ as a function of the Jacobian matrix $\frac{\partial \phi_x}{\partial \theta_x}$

Unfortunately, I don't really now to approach this. For example, what is the gradient of an expectation as a function of the Jacobian?

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