Parallelized Stochastic Gradient Markov Chain Monte Carlo algorithms for non-negative matrix factorization

摘要

Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have become popular in modern data analysis problems due to their computational efficiency. Even though they have proved useful for many statistical models, the application of SG-MCMC to non-negative matrix factorization (NMF) models has not yet been extensively explored. In this study, we develop two parallel SG-MCMC algorithms for a broad range of NMF models. We exploit the conditional independence structure of the NMF models and utilize a stratified sub-sampling approach for enabling parallelization. We illustrate the proposed algorithms on an image restoration task and report encouraging results.