Title: A Non-monotone Alternating Updating Method for A Class of Matrix Factorization Problems,
Abstract: In this paper we consider a general matrix factorization model which covers a
large class of existing models with many applications in areas such as machine
learning and imaging sciences. To solve this possibly nonconvex, nonsmooth and
non-Lipschitz problem, we develop a non-monotone alternating updating method
based on a potential function. Our method essentially updates two blocks of
variables in turn by inexactly minimizing this potential function, and updates
another auxiliary block of variables using an explicit formula. The special
structure of our potential function allows us to take advantage of efficient
computational strategies for non-negative matrix factorization to perform the
alternating minimization over the two blocks of variables. A suitable line
search criterion is also incorporated to improve the numerical performance.
Under some mild conditions, we show that the line search criterion is well
defined, and establish that the sequence generated is bounded and any cluster
point of the sequence is a stationary point. Finally, we conduct some numerical
experiments using real datasets to compare our method with some existing
efficient methods for non-negative matrix factorization and matrix completion.
The numerical results show that our method can outperform these methods for
these specific applications.