Automatic Relevance Determination in Nonnegative Matrix Factorization with the β-Divergence

Details Automatic Relevance Determination in Nonnegative Matrix Factorization with the β-Divergence Automatic Relevance Determination in Nonnegative Matrix Factorization with the β-Divergence

2011-11-25

arxiv.org/abs/1111.6085v2

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Machine Learning

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This paper addresses the estimation of the latent dimensionality in nonnegative matrix factorization (NMF) with the \beta-divergence. The \beta-divergence is a family of cost functions that includes the squared Euclidean distance, Kullback-Leibler and Itakura-Saito divergences as special cases. Learning the model order is important as it is necessary to strike the right balance between data fidelity and overfitting. We propose a Bayesian model based on automatic relevance determination in which the columns of the dictionary matrix and the rows of the activation matrix are tied together through a common scale parameter in their prior. A family of majorization-minimization algorithms is proposed for maximum a posteriori (MAP) estimation. A subset of scale parameters is driven to a small lower bound in the course of inference, with the effect of pruning the corresponding spurious components. We demonstrate the efficacy and robustness of our algorithms by performing extensive experiments on synthetic data, the swimmer dataset, a music decomposition example and a stock price prediction task.

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