Empirical Bayes Matrix Completion

DOI10.1016/J.CSDA.2019.02.006MaRDI QIDQ6287475arXivWikidataFDO

Authors T. Matsuda, Fumiyasu Komaki

Publication date 5 June 2017

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Matrix completion problems (15A83)

Abstract: We develop an empirical Bayes (EB) algorithm for the matrix completion problems. The EB algorithm is motivated from the singular value shrinkage estimator for matrix means by Efron and Morris (1972). Since the EB algorithm is essentially the EM algorithm applied to a simple model, it does not require heuristic parameter tuning other than tolerance. Numerical results demonstrated that the EB algorithm achieves a good trade-off between accuracy and efficiency compared to existing algorithms and that it works particularly well when the difference between the number of rows and columns is large. Application to real data also shows the practical utility of the EB algorithm.

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