Empirical Bayes Matrix Completion
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Publication:6287475
DOI10.1016/J.CSDA.2019.02.006arXiv1706.01252WikidataQ128306275 ScholiaQ128306275MaRDI QIDQ6287475FDOQ6287475
Authors: T. Matsuda, Fumiyasu Komaki 
Publication date: 5 June 2017
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.
Computational methods for problems pertaining to statistics (62-08) Matrix completion problems (15A83)
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