An Alternating Direction and Projection Algorithm for Structure-enforced Matrix Factorization

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2013-10
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Structure-enforced matrix factorization (SeMF) represents a large class of mathematical models ap- pearing in various forms of principal component analysis, sparse coding, dictionary learning and other machine learning techniques useful in many applications including neuroscience and signal process- ing. In this paper, we present a unified algorithm framework, based on the classic alternating direction method of multipliers (ADMM), for solving a wide range of SeMF problems whose constraint sets per- mit low-complexity projections. We propose a strategy to adaptively adjust the penalty parameters which is the key to achieving good performance for ADMM. We conduct extensive numerical experiments to compare the proposed algorithm with a number of state-of-the-art special-purpose algorithms on test problems including dictionary learning for sparse representation and sparse nonnegative matrix factor- ization. Results show that our unified SeMF algorithm can solve different types of factorization problems as reliably and as efficiently as special-purpose algorithms. In particular, our SeMF algorithm provides the ability to explicitly enforce various combinatorial sparsity patterns that, to our knowledge, has not been considered in existing approaches.

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Technical report
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Xu, Lijun, Yu, Bo and Zhang, Yin. "An Alternating Direction and Projection Algorithm for Structure-enforced Matrix Factorization." (2013) https://hdl.handle.net/1911/102222.

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