Journal Article

Survey on Probabilistic Models of Low-Rank Matrix Factorizations

Zheng, Xiuyun, Shi, Jiarong, Yang, Wei

2017

Overview

Low-rank matrix factorizations such as Principal Component Analysis (PCA), Singular Value Decomposition (SVD) and Non-negative Matrix Factorization (NMF) are a large class of methods for pursuing the low-rank approximation of a given data matrix. The conventional factorization models are based on the assumption that the data matrices are contaminated stochastically by some type of noise. Thus the point estimations of low-rank components can be obtained by Maximum Likelihood (ML) estimation or Maximum a posteriori (MAP). In the past decade, a variety of probabilistic models of low-rank matrix factorizations have emerged. The most significant difference between low-rank matrix factorizations and their corresponding probabilistic models is that the latter treat the low-rank components as random variables. This paper makes a survey of the probabilistic models of low-rank matrix factorizations. Firstly, we review some probability distributions commonly-used in probabilistic models of low-rank matrix factorizations and introduce the conjugate priors of some probability distributions to simplify the Bayesian inference. Then we provide two main inference methods for probabilistic low-rank matrix factorizations, i.e., Gibbs sampling and variational Bayesian inference. Next, we classify roughly the important probabilistic models of low-rank matrix factorizations into several categories and review them respectively. The categories are performed via different matrix factorizations formulations, which mainly include PCA, matrix factorizations, robust PCA, NMF and tensor factorizations. Finally, we discuss the research issues needed to be studied in the future.

• Publisher: MDPI AG
• Subject: Bayesian analysis / Factorization / Gibbs sampling / low-rank / Mathematical analysis / matrix factorizations / Maximum likelihood estimation / Principal components analysis / Probabilistic inference / probabilistic matrix factorizations / Probabilistic models / probabilistic principal component analysis / probabilistic tensor factorizations / Probability theory / Random variables / Singular value decomposition / Statistical analysis / Statistical inference / Tensors / variational Bayesian inference / Vector space