Learning mixed divergences in coupled matrix and tensor factorization models

Umut Simsekli, Ali Taylan Cemgil, Beyza Ermis

Abstract: Coupled tensor factorization methods are useful for sensor fusion, combining information from several related datasets by simultaneously approximating them by products of latent tensors. In these methods, the choice of a suitable optimization criteria becomes difficult as observed datasets may have different statistical characteristics and their relative importance for the task at hand can vary. In this paper, we present an algorithmic framework for coupled factorization that, while estimating a latent factorization also estimates a specific ß-divergence for each dataset as well as the relative weights in an overall additive cost function. We evaluate the proposed method on both synthetical and real datasets, where we apply our methods on a link prediction problem. The results show that our method outperforms the state-of-the-art by a significant margin.