APG优化非负矩阵分解（NeNMF）

atease0001

已于 2023-08-12 10:23:06 修改

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文章标签：矩阵线性代数

于 2022-11-09 17:38:38 首次发布

本文链接：https://blog.csdn.net/atease0001/article/details/127774010

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文献：NeNMF: An Optimal Gradient Method for Nonnegative Matrix Factorization

$min_{W,H}||X - WH||; s.t W,H>=0$ ；

（1）固定W,优化H

(2)优化W，固定H;

$W_k = P(U_k-1/L\triangledown_W(W_k,U_k) )$

(3)更新W_k

$U_{k+1}=W_k+(\alpha_k-1)/\alpha_{k+1}(W_k-W_{k-1})$

(4)更新Y_k

具体算法：

matlab 代码

function [W,H] = myNeNMF(X,k)
 %% min_{W,H}||X-WH||_2^2;
 %% s.t W,H>0;
 
 max_epoch = 200;
 [dim,nSmp] = size(X);
 Wt = abs(rand(dim,k));
 Ht = abs(rand(k,nSmp));

%%
deltPH = -Wt'*X + Wt'*Wt*Ht;
deltPW = -X*Ht' + Wt*(Ht*Ht');
Wwt    = [Wt',Ht];
DeltHW = [deltPW',deltPH];
tol = norm(DeltHW(DeltHW<0|Wwt>0));
tol_optgap = 1e-5;
tolH = 1e-3*tol;
tolW = 1e-3*tol;
innerloop = 10;
for i = 1:max_epoch
    %% update  H
    [Ht,deltPH,iterH] = updateH(X,Wt,Ht,tolH,innerloop);
    if iterH<innerloop
        tolH = tolH/10;
    end
    %% update W;
    [Wt,deltPW,iterW] = updateH(X',Ht',Wt',tolW,innerloop);
    if iterW<innerloop
        tolW = tolW/10;
    end
    Wt = Wt';
    obj(i) = norm(X- Wt*Ht);
    WH = [Wt',Ht];
    deltaWH = [deltPH,deltPW];
    delta = deltaWH(deltaWH<0|WH>0);
    if i>1
        if (abs(obj(i)-obj(i-1))<tol_optgap)||(norm(delta)<1e-5*tol)
            break;
        end
    end 
end
W = Wt;
H = Ht;
end
 
 %% update H;
 
function [H,deltPH,i] = updateH(X,Wt,Ht,tol,innerloop)
    itermax_inner = 100;
    Yk = Ht;
    Hk = Ht;
    alpha0 = 1;
    alphak = alpha0;
    WtX = Wt'*X;
    WWt = Wt'*Wt;
    L = norm(WWt);
    deltPH  = -WtX + WWt*Yk;
    for i=1:itermax_inner
        Hk0    = Hk;
        Hk     = max(Yk - 1/L*deltPH,0);
        alphak = 0.5*(1 + sqrt(4*alphak.^2 + 1));
        Yk     = Hk + (alpha0-1)/alphak*(Hk - Hk0);
        alpha0 = alphak;
        deltPH = -WtX + WWt*Hk;
        pGd = deltPH(deltPH<0|Yk>0);
        if i>innerloop
            if norm(pGd)<=tol
                break;
            end
        end
    end
    H = Hk;
end