Computation of the maximum likelihood estimator in low-rank factor analysis

DOI10.1007/S10107-019-01370-7zbMATH Open1415.90074arXiv1801.05935OpenAlexW2964108664WikidataQ128287820 ScholiaQ128287820MaRDI QIDQ2425172FDOQ2425172

Koulik Khamaru, Rahul Mazumder

Publication date: 26 June 2019

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Abstract: Factor analysis, a classical multivariate statistical technique is popularly used as a fundamental tool for dimensionality reduction in statistics, econometrics and data science. Estimation is often carried out via the Maximum Likelihood (ML) principle, which seeks to maximize the likelihood under the assumption that the positive definite covariance matrix can be decomposed as the sum of a low rank positive semidefinite matrix and a diagonal matrix with nonnegative entries. This leads to a challenging rank constrained nonconvex optimization problem. We reformulate the low rank ML Factor Analysis problem as a nonlinear nonsmooth semidefinite optimization problem, study various structural properties of this reformulation and propose fast and scalable algorithms based on difference of convex (DC) optimization. Our approach has computational guarantees, gracefully scales to large problems, is applicable to situations where the sample covariance matrix is rank deficient and adapts to variants of the ML problem with additional constraints on the problem parameters. Our numerical experiments demonstrate the significant usefulness of our approach over existing state-of-the-art approaches.

Full work available at URL: https://arxiv.org/abs/1801.05935

zbMATH Keywords

sparsitysemidefinite optimizationdifference of convex optimizationspectral functionsmaximum likelihood factor analysislow-rank constraint

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Convex programming (90C25) Nonlinear programming (90C30) Semidefinite programming (90C22) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Cited In (3)

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• Maximum likelihood factor analysis with rank-deficient sample covariance matrices
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Uses Software

• PROPACK
• glasso
• ElemStatLearn
• SCS
• PRMLT

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