An alternating direction and projection algorithm for structure-enforced matrix factorization

Structure-enforced matrix factorization (SeMF) represents a large class of mathematical models ap-pearing in various forms of principal component analysis, sparse coding, dictionary learning and other machine learning techniques useful in many applications including neuroscience and signal process-ing. In this paper, we present a unified algorithm framework, based on the classic alternating direction method of multipliers (ADMM), for solving a wide range of SeMF problems whose constraint sets per-mit low-complexity projections. We propose a strategy to adaptively adjust the penalty parameters which is the key to achieving good performance for ADMM. We conduct extensive numerical experiments to compare the proposed algorithm with a number of state-of-the-art special-purpose algorithms on test problems including dictionary learning for sparse representation and sparse nonnegative matrix factor-ization. Results show that our unified SeMF algorithm can solve different types of factorization problems as reliably and as efficiently as special-purpose algorithms. In particular, our SeMF algorithm provides the ability to explicitly enforce various combinatorial sparsity patterns that, to our knowledge, has not been considered in existing approaches.