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1 A Fast Augmented Lagrangian Algorithm for Learning Low- Rank Matrices Ryota Tomioka, Taiji Suzuki, Masashi Sugiyama, Hisashi Kashima 2010/8/18 ICML2010
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3 1 Matrix completion [Srebro et al. 05; Abernethy et al. 09] (collaborative filtering, link prediction) Y = W Part of Y is observed W = W user W movie 2 Multi-task learning [Argyriou et al., 07] y = W x + b W = w task 1 w task 2. w task R 3 Predicting over matrices (classification/regression) [Tomioka & Aihara, 07] ( time ) y = W, X + b X space W W = W task W feature = W space W time
4 f(x) = W, X + b = Tr ( W X ) + b ( r ) = Tr σ jv j u j X + b j=1 = r σ jtr ( v j u j X ) + b j=1 = r σ jtr ( u ) j Xv j + b j=1 r W = σ j u j v j j=1
5 w 1 = W = n j=1 r j=1 w j σ j (W ) σ j (W ) x 0.01 x 0.5 x x 2
6 minimize L(W )+λ W W R R C
7 W t+1 := argmin W ( W, L(W t ) + λ W + 1 ) W W t 2 fro 2η t = ST ληt ( W t η t L(W t ) ) Spectral Soft-threshold: ST λ (W )=U max(s λi, 0)V W = USV
8 minimize W R R C f l (Avec(W )) + λ W
9 L(W )= m i=1 y i Wx i 2 = Y WX 2 fro = vec(y ) (X I R )vec(w ) ( 2 ) vec(axb) = (B A)vec(X)
10 W t+1 := argmin W ( f l (Avec(W )) + λ W + 1 ) W W t 2 2η t = ST ληt ( W t + η t A α t+1) α t+1 = argmin ϕ t (α)
11 IST 2 2 DAL !0.5!0.5!0!1!1!1!1.5!1.5!1!2!2!2!1.5!1! !2!2!1.5!1! !2!1!1!
12 γ ϕ t (α t+1 ) W t+1 W t fro η t f(w t+1 ) f(w ) σ W t+1 W 2 fro (t =0, 1, 2,...) W t+1 W fro 1 1+2σηt W t W fro
13
14 φ λ (W )=λ K W (k) = λ k=1 ( W (1) W (K) ) φ λ (W )= r g λ(σ j (W )) j=1 ST gλ (σ j ) = argmin (g λ (x)+ 12 ) (x σ j) 2 x R
15 Rank=10 Rank= Time (s) Rank Time (s) Rank Regularization constant! Regularization constant!
16 Rank=10, #observations m=1,200,000 λ time (s) #outer #inner rank S-RMSE (±2.0) 5(±0) 8(±0) 2.8 (±0.4) (±0.0024) (±5.6) 11 (±0) 18 (±0) 5(±0) (±0.0008) (±7.2) 17 (±0) 28 (±0) 6.4 (±0.5) (±0.0015) (±8.0) 23 (±0) 38.4 (±0.84) 8(±0) (± ) (±9.9) 29 (±0) 48.4 (±0.84) 9(±0) (± ) (±9.9) 35 (±0) 58.4 (±0.84) 9(±0) (± ) (±11) 41 (±0) 70 (±0.82) 10 (±0) (± ) #inner iterations is roughly 2 times #outer iterations.
17 Rank=20, #observations m=2,400,000 λ time (s) #outer #inner rank S-RMSE (±19) 6(±0) 15.1 (±1.0) 12.1 (±0.3) (±0.002) (±22) 11 (±0) 24.1 (±1.0) 14 (±0) (±0.001) (±25) 15 (±0) 31.1 (±1.0) 16 (±0) (±0.0008) (±29) 19 (±0) 38.1 (±1.0) 16 (±0) (±0.0007) (±36) 24 (±0) 48.1 (±1.0) 18 (±0) (±0.0004) (±44) 29 (±0) 57.1 (±1.0) 18 (±0) (±0.0003) (±48) 34 (±0) 66.1 (±1.0) 19 (±0) (±0.0002) (±59) 38.5 (±0.5) 74.1 (±1.5) 19 (±0) (±0.0003) (±61) 43.6 (±0.5) 83.9 (±2.3) 20 (±0) (±0.0001) (±78) 48.4 (±0.7) 92.5 (±1.5) 20 (±0) (±0.0002) (±94) 53.4 (±0.7) 102 (±1.5) 20 (±0) (± ) (±105) 57.7 (±0.8) 109 (±2.4) 20 (±0) (± )
18 f l (z) = m log(1 + exp( y iz i )) i=1
19 Relative duality gap CPU time (s) AG IP PG M DAL
20 Relative duality gap Number of iterations Time (s)
21
22 Number of iterations Time (s) Accuracy Regularization constant Regularization constant Regularization constant 50
23 25 1st order 4 2nd order (alpha band) 8 2nd order (beta band) Singular values SV index SV index SV index 1st order component 1:!=24.19 Filter Pattern Time course Time (ms)
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