Scalable tensor factorizations with incomplete data.
- Technical University of Denmark
- Sandia National Laboratories, Albuquerque, NM
- Information Technologies Institute, Turkey
The problem of incomplete data - i.e., data with missing or unknown values - in multi-way arrays is ubiquitous in biomedical signal processing, network traffic analysis, bibliometrics, social network analysis, chemometrics, computer vision, communication networks, etc. We consider the problem of how to factorize data sets with missing values with the goal of capturing the underlying latent structure of the data and possibly reconstructing missing values (i.e., tensor completion). We focus on one of the most well-known tensor factorizations that captures multi-linear structure, CANDECOMP/PARAFAC (CP). In the presence of missing data, CP can be formulated as a weighted least squares problem that models only the known entries. We develop an algorithm called CP-WOPT (CP Weighted OPTimization) that uses a first-order optimization approach to solve the weighted least squares problem. Based on extensive numerical experiments, our algorithm is shown to successfully factorize tensors with noise and up to 99% missing data. A unique aspect of our approach is that it scales to sparse large-scale data, e.g., 1000 x 1000 x 1000 with five million known entries (0.5% dense). We further demonstrate the usefulness of CP-WOPT on two real-world applications: a novel EEG (electroencephalogram) application where missing data is frequently encountered due to disconnections of electrodes and the problem of modeling computer network traffic where data may be absent due to the expense of the data collection process.
- Research Organization:
- Sandia National Laboratories (SNL), Albuquerque, NM, and Livermore, CA (United States)
- Sponsoring Organization:
- USDOE
- DOE Contract Number:
- AC04-94AL85000
- OSTI ID:
- 1021587
- Report Number(s):
- SAND2010-5009C; TRN: US201117%%182
- Resource Relation:
- Conference: Proposed for presentation at the SIAM 2010 Annual Meeting held July 12-16, 2010 in Pittsburgh, PA.
- Country of Publication:
- United States
- Language:
- English
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