Fast Low-Rank Bayesian Matrix Completion With Hierarchical Gaussian Prior Models

DOI10.1109/TSP.2018.2816575MaRDI QIDQ4622167zbMATH OpenFDO

Authors Linxiao Yang, Jun Fang, Huiping Duan, Hongbin Li, Bing Zeng

Publication date 12 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.02455

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: The problem of low rank matrix completion is considered in this paper. To exploit the underlying low-rank structure of the data matrix, we propose a hierarchical Gaussian prior model, where columns of the low-rank matrix are assumed to follow a Gaussian distribution with zero mean and a common precision matrix, and a Wishart distribution is specified as a hyperprior over the precision matrix. We show that such a hierarchical Gaussian prior has the potential to encourage a low-rank solution. Based on the proposed hierarchical prior model, a variational Bayesian method is developed for matrix completion, where the generalized approximate massage passing (GAMP) technique is embedded into the variational Bayesian inference in order to circumvent cumbersome matrix inverse operations. Simulation results show that our proposed method demonstrates superiority over existing state-of-the-art matrix completion methods.

Cited in

(9)

• Numerical comparisons between Bayesian and frequentist low-rank matrix completion: estimation accuracy and uncertainty quantification
• Exponential weights in multivariate regression and a low-rankness favoring prior
• A reduced-rank approach to predicting multiple binary responses through machine learning
• A Bayesian Singular Value Decomposition Procedure for Missing Data Imputation
• Iterative tensor eigen rank minimization for low-rank tensor completion
• Sparse Bayesian learning approach for discrete signal reconstruction
• Variational Bayesian inference for CP tensor completion with subspace information
• On properties of fractional posterior in generalized reduced-rank regression
• Concentration properties of fractional posterior in 1-bit matrix completion

This page was built for publication: Fast Low-Rank Bayesian Matrix Completion With Hierarchical Gaussian Prior Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4622167)