Alternating Direction Method of Multipliers for Nonlinear Matrix Decompositions

TL;DR

The proposed framework flexibly supports diverse loss functions, including least squares, $\ell_1$ norm, and the Kullback-Leibler divergence, and can be readily extended to other nonlinearities and metrics.

Abstract

We present an algorithm based on the alternating direction method of multipliers (ADMM) for solving nonlinear matrix decompositions (NMD). Given an input matrix $X \in \mathbb{R}^{m \times n}$ and a factorization rank $r \ll \min(m, n)$, NMD seeks matrices $W \in \mathbb{R}^{m \times r}$ and $H \in \mathbb{R}^{r \times n}$ such that $X \approx f(WH)$, where $f$ is an element-wise nonlinear function. We evaluate our method on several representative nonlinear models: the rectified linear unit activation $f(x) = \max(0, x)$, suitable for nonnegative sparse data approximation, the component-wise square $f(x) = x^2$, applicable to probabilistic circuit representation, and the MinMax transform $f(x) = \min(b, \max(a, x))$, relevant for recommender systems. The proposed framework flexibly supports diverse loss functions, including least squares, $\ell_1$ norm, and the Kullback-Leibler divergence, and can be readily extended to other nonlinearities and metrics. We illustrate the applicability, efficiency, and adaptability of the approach on real-world datasets, highlighting its potential for a broad range of applications.