Scalable Bayesian Matrix Factorization

Abstract. Matrix factorization (MF) is the simplest and most well studied factor based model and has been applied successfully in several domains. One of the standard ways to solve MF is by finding maximum a posteriori estimate of the model parameters, which is equivalent to minimizing the regularized objective function. Stochastic gradient descent (SGD) is a common choice to minimize the regularized objective function. However, SGD suffers from the problem of overfitting and entails tedious job of finding the learning rate and regularization parameters. A fully Bayesian treatment of MF avoids these problems. However, the existing Bayesian matrix factorization method based on the Markov chain Monte Carlo (MCMC) technique has cubic time complexity with respect to the target rank, which makes it less scalable. In this paper, we propose the Scalable Bayesian Matrix Factorization (SBMF), which is a MCMC Gibbs sampling algorithm for MF and has linear time complexity with respect to the ...

• Type: Journal
• Year: 2015
• Where: PKDD
• Authors: Avijit Saha, Rishabh Misra, Balaraman Ravindran
• Keywords: Data Mining, PKDD 2015