Conference Proceedings
Year
2013
Abstract
he problem of low-rank matrix estimation recently received a lot of attention due to challenging applications. A lot of work has been done on rank-penalized methods and convex relaxation, both on the theoretical and applied sides. However, only a few papers considered Bayesian estimation. In this paper, we review the different type of priors considered on matrices to favour low-rank. We also prove that the obtained Bayesian estimators, under suitable assumptions, enjoys the same optimality properties as the ones based on penalization.
ALQUIER, P. (2013). Bayesian Methods for Low-Rank Matrix Estimation: Short Survey and Theoretical Study. Dans: 24th International Conference on Algorithmic Learning Theory (ALT’13). Singapore: Springer Berlin Heidelberg, pp. 309-323.