视频前背景分离论文之(4) A Probabilistic Approach to Robust Matrix Factorization

本文介绍了概率正则化矩阵分解(PRMF)模型的基本原理及应用。PRMF模型结合了Laplace误差和Gaussian先验,对应于l1损失和l2正则化。文章深入探讨了模型的概率解释、重新表述以及优化过程。

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1、Abstract

PRMF:formulated with a Laplace error and a Gaussian prior which correspond to an l1loss and an l2regularizer.

2、MF mode

minURm×r,VRn×rW(YUVT)aa+λu2U22+λv2V22

3、PRMF

3.1 Probabilistic Interpretation

Probabilistic Interpretation:corresponding to a MAP estimation problem.

Yuij|λuvij|λv===UVT+EN(uij|0,λ1u)N(vij|0,λ1v)

suppose eij is sampled from Laplace distribution L(eij|0,λ):
p(E|λ)=(λ2)mnexp{λE1}

from Bayes’,p(U,V|Y,λ,λu,λv)p(Y|U,V,λ)p(U|λu)p(V|λv) :
logp(U,V|Y,λ,λu,λv)=λYUVTaa+λu2U22+λv2V22

3.2 Model Reformulation

Laplace distribution:

p(z|u,α2)=α22exp(α2|zu|)
is equivalently expressed as a scaled mixture of Gaussians:
L(z|u,α2)=0N(z|u,τ)Expon(τ|α2)dτ

where Expon(τ|α2) is:
p(τ|α2)=α22exp(α2τ2)

Matrix T=[τij]Rm×n, where each element τij is a latent variable with exponential prior for the corresponding yij.

yij|U,V,Tuij|λuvij|λvτij|λN(yij|uTivj,τij)N(uij|0,λ1u)N(vij|0,λ1v)Expon(τij|λ/2)

3.3 Optimization

CEM: Each CEM iteration consists of two EM steps, namely, updating V while fixing U and updating U while fixing V.

Q(V|θˆ)=ET[logp(V|Uˆ,Y,T)|Y,θˆ]

where T is the missing data and θ={U,V} is the parameters to be estimated.
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