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Pré-Publication, Document De Travail Année : 2020

A Comparative Study of Temporal Non-Negative Matrix Factorization with Gamma Markov Chains

Louis Filstroff
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Olivier Gouvert
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Cédric Févotte
Olivier Cappé

Résumé

Non-negative matrix factorization (NMF) has become a well-established class of methods for the analysis of non-negative data. In particular, a lot of effort has been devoted to probabilistic NMF, namely estimation or inference tasks in probabilistic models describing the data, based for example on Pois-son or exponential likelihoods. When dealing with time series data, several works have proposed to model the evolution of the activation coefficients as a non-negative Markov chain, most of the time in relation with the Gamma distribution, giving rise to so-called temporal NMF models. In this paper, we review three Gamma Markov chains of the NMF literature, and show that they all share the same drawback: the absence of a well-defined stationary distribution. We then introduce a fourth process, an overlooked model of the time series literature named BGAR(1), which overcomes this limitation. These four temporal NMF models are then compared in a MAP framework on a prediction task, in the context of the Poisson likelihood.
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Dates et versions

hal-02883800 , version 1 (29-06-2020)
hal-02883800 , version 2 (18-02-2021)
hal-02883800 , version 3 (01-03-2021)

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  • HAL Id : hal-02883800 , version 1

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Louis Filstroff, Olivier Gouvert, Cédric Févotte, Olivier Cappé. A Comparative Study of Temporal Non-Negative Matrix Factorization with Gamma Markov Chains. 2020. ⟨hal-02883800v1⟩
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