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Fast Newton-type Methods for the Least Squares Nonnegative Matrix Approximation Problem


Sra,  S
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;

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Kim, D., Sra, S., & Dhillon, I. (2007). Fast Newton-type Methods for the Least Squares Nonnegative Matrix Approximation Problem. Proceedings of the SIAM International Conference on Data Mining (SDM 2007), 343-354.

Nonnegative Matrix Approximation is an effective matrix decomposition technique that has proven to be useful for a wide variety of applications ranging from document analysis and image processing to bioinformatics. There exist a few algorithms for nonnegative matrix approximation (NNMA), for example, Lee Seung’s multiplicative updates, alternating least squares, and certain gradient descent based procedures. All of these procedures suffer from either slow convergence, numerical instabilities, or at worst, theoretical unsoundness. In this paper we present new and improved algorithms for the least-squares NNMA problem, which are not only theoretically well-founded, but also overcome many of the deficiencies of other methods. In particular, we use non-diagonal gradient scaling to obtain rapid convergence. Our methods provide numerical results superior to both Lee Seung’s method as well to the alternating least squares (ALS) heuristic, which is known to work well in some situations but has no theoretical guarantees (Berry et al. 2006). Our approach extends naturally to include regularization and box-constraints, without sacrificing convergence guarantees. We present experimental results on both synthetic and realworld datasets to demonstrate the superiority of our methods, in terms of better approximations as well as efficiency.