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210 nips-2010-Practical Large-Scale Optimization for Max-norm Regularization


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Author: Jason Lee, Ben Recht, Nathan Srebro, Joel Tropp, Ruslan Salakhutdinov

Abstract: The max-norm was proposed as a convex matrix regularizer in [1] and was shown to be empirically superior to the trace-norm for collaborative filtering problems. Although the max-norm can be computed in polynomial time, there are currently no practical algorithms for solving large-scale optimization problems that incorporate the max-norm. The present work uses a factorization technique of Burer and Monteiro [2] to devise scalable first-order algorithms for convex programs involving the max-norm. These algorithms are applied to solve huge collaborative filtering, graph cut, and clustering problems. Empirically, the new methods outperform mature techniques from all three areas. 1

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Summary: the most important sentenses genereted by tfidf model

sentIndex sentText sentNum sentScore

1 edu Abstract The max-norm was proposed as a convex matrix regularizer in [1] and was shown to be empirically superior to the trace-norm for collaborative filtering problems. [sent-9, score-0.282]

2 The present work uses a factorization technique of Burer and Monteiro [2] to devise scalable first-order algorithms for convex programs involving the max-norm. [sent-11, score-0.122]

3 These algorithms are applied to solve huge collaborative filtering, graph cut, and clustering problems. [sent-12, score-0.419]

4 In a wide variety of applications, such as collaborative filtering, multi-task learning, multi-class learning and clustering of multivariate observations, matrices offer a natural way to tabulate data. [sent-15, score-0.295]

5 For such matrix models, the matrix rank provides an intellectually appealing way to describe complexity. [sent-16, score-0.145]

6 Unfortunately, optimization problems involving rank constraints are computationally intractable except in a few basic cases. [sent-20, score-0.124]

7 A particular example of a low-rank regularizer that has received a huge amount of recent attention is the trace-norm, equal to the sum of the matrix’s singular values (See the comprehensive survey [3] and its bibliography). [sent-22, score-0.144]

8 The tracenorm promotes low-rank decompositions because it minimizes the 1 norm of the vector of singular values, which encourages many zero singular values. [sent-23, score-0.207]

9 Although the trace-norm is a very successful regularizer in many applications, it does not seem to be widely known or appreciated that there are many other interesting norms that promote low rank. [sent-24, score-0.191]

10 The current work focuses on another rank-promoting regularizer, sometimes called the maxnorm, that has been proposed as an alternative to the rank for collaborative filtering problems [1, 5]. [sent-26, score-0.226]

11 The max-norm can be defined via matrix factorizations: X where · max := inf denotes the maximum 2,∞ A 2 U 2,∞ V 2,∞ : X = UV (1) row norm of a matrix: 2,∞ := maxj k A2 jk 1/2 . [sent-27, score-0.242]

12 When X is positive semidefinite, we may force U = V and then verify that X max = maxj xjj , which should explain the terminology. [sent-29, score-0.122]

13 The fundamental result in the metric theory of tensor products, due to Grothendieck, states that the max-norm is comparable with a nuclear norm (see Chapter 10 of [6]): X max ≈ inf σ 1 :X= j σj uj vj where uj ∞ = 1 and vj ∞ =1 . [sent-30, score-0.451]

14 The trace-norm, on the other hand, is equal to X tr := inf σ 1 :X= j σj uj vj where uj 2 = 1 and vj 2 =1 . [sent-34, score-0.278]

15 This perspective reveals that the max-norm promotes low-rank decompositions with factors in ∞ , rather than the 2 factors produced by the trace-norm! [sent-35, score-0.079]

16 The literature already contains theoretical and empirical evidence that the max-norm is superior to the trace-norm for certain types of problems. [sent-37, score-0.077]

17 Indeed, the max-norm offers better generalization error bounds for collaborative filtering [5], and it outperforms the trace-norm in small-scale experiments [1]. [sent-38, score-0.14]

18 The paper [7] provides further evidence that the max-norm serves better for collaborative filtering with nonuniform sampling patterns. [sent-39, score-0.227]

19 We believe that the max-norm has not achieved the same prominence as the trace-norm because of an apprehension that it is challenging to solve optimization problems involving a max-norm regularizer. [sent-40, score-0.104]

20 In particular, we study convex programs of the form min f (X) + µ X (2) max where f is a smooth function and µ is a positive penalty parameter. [sent-43, score-0.12]

21 We also study the bound-constrained problem min f (X) subject to X max ≤ B. [sent-45, score-0.123]

22 Section 3 provides a projected gradient method for (3), and Section 5 develops a stochastic implementation that is appropriate for decomposable loss functions. [sent-47, score-0.341]

23 In Section 6, we apply these new algorithms to large-scale collaborative filtering problems, and we demonstrate performance superior to methods based on the trace-norm. [sent-49, score-0.179]

24 We apply the algorithms to solve enormous instances of graph cut problems, and we establish that clustering based on these cuts outperforms spectral clustering on several data sets. [sent-50, score-0.723]

25 2 2 The SDP and Factorization Approaches The max-norm of an m × n matrix X can be expressed as the solution to a semidefinite program: X max = min t subject to W1 X X W2 diag(W1 ) ≤ t, 0, diag(W2 ) ≤ t. [sent-51, score-0.169]

26 For large-scale problems, we use an alternative formulation suggested by (1) that explicitly works with a factorization of the decision variable X. [sent-53, score-0.088]

27 R Burer and Monteiro showed that as long as L and R have sufficiently many columns, then the global optimum of (4) is equal to that of X max = min max{ L (L,R) : LR =X 2 2,∞ , R 2 2,∞ } . [sent-56, score-0.082]

28 This formulation of the max-norm is nonconvex because it involves a constraint on the product LR , but Burer and Monteiro proved that each local minimum of the reformulated problem is also a global optimum [9]. [sent-58, score-0.099]

29 On the other hand, the new formulation is nonconvex with respect to L and R so it might not be efficiently solvable. [sent-60, score-0.099]

30 3 Projected Gradient Method The constrained formulation (3) admits a simple projected gradient algorithm. [sent-62, score-0.34]

31 We replace X with the product LR and use the factored form of the max-norm (5) to obtain minimize(L,R) f (LR ) subject to max{ L 2 2,∞ , R 2 2,∞ } ≤ B. [sent-63, score-0.086]

32 (6) The projected gradient descent method fixes a step size τ and computes updates with the rule L ← PB R L − τ f (LR)R R − τ f (LR) L 2 2 where PB denotes the Euclidean projection onto the set {(L, R) : max( L 2,∞ , R 2,∞ ) ≤ B}. [sent-64, score-0.298]

33 This projection can be computed by re-scaling the rows of the current iterate whose norms exceed √ √ √ B so their norms equal B. [sent-65, score-0.224]

34 Rows with norms less than B are unchanged by the projection. [sent-66, score-0.091]

35 The projected gradient algorithm is elegant and simple, and it has an online implementation, described below. [sent-67, score-0.298]

36 We employ a classical proximal point method, proposed by Fukushima and Mine [8], which forms the algorithmic foundation of many popular first-order methods of for 1 -norm minimization [11, 12] and trace-norm minimization [13, 14]. [sent-72, score-0.148]

37 The new cost function can then be minimized in closed form. [sent-75, score-0.08]

38 Before describing the proximal point algorithm in detail, we first discuss how a simple max-norm problem (the Frobenius norm plus a max-norm penalty) admits an explicit formula for its unique optimal solution. [sent-76, score-0.188]

39 Consider the simple regularization problem minimizeW W −V 3 2 F +β W 2 2,∞ (7) Algorithm 1 Compute W = squash(V , β) Require: A d × D matrix V , a positive scalar β. [sent-77, score-0.092]

40 F 1: for k = 1 to d set nk ← vk 2 2: sort {nk } in descending order. [sent-79, score-0.116]

41 We call this procedure squash because the rows of V with large norm have their magnitude clipped at a critical value η = η(V , β). [sent-86, score-0.508]

42 Note that squash can be computed in O(d max{log(d), D}) flops. [sent-90, score-0.392]

43 Computing the row norms requires O(dD) flops, and then the sort requires O(d log d) flops. [sent-91, score-0.137]

44 With the squash function in hand, we can now describe our proximal-point algorithm. [sent-94, score-0.392]

45 Using the squash algorithm, we can solve minimize −1 ˜ f (Ak ), A + τk A − Ak 2 F +µ A 2 2,∞ (9) in closed form. [sent-100, score-0.498]

46 That is, the optimal solution ˜ of (9) is squash Ak − τk f (Ak ), τk µ . [sent-103, score-0.392]

47 The cost function f is replaced with a quadratic approximation localized at the previous iterate Ak , and the resulting approximation (9) can be solved in closed form. [sent-106, score-0.08]

48 This algorithm is guaranteed to converge to a critical point of (8) as long as the step sizes are chosen ˜ commensurate with the norm of the Hessian [8]. [sent-109, score-0.074]

49 In particular, Nesterov has recently shown that if f has a Lipschitz-continuous gradient with Lipschitz constant L, then the algorithm will converge at a rate of 1/k where k is the iteration counter [15]. [sent-110, score-0.151]

50 4 Algorithm 2 A proximal-point method for max-norm regularization Require: Algorithm parameters α > 0, 1 > γ > 0, tol > 0. [sent-111, score-0.099]

51 When dealing with very large datasets, S may consist of hundreds of millions of pairs, and there are algorithmic advantages to utilizing stochastic gradient methods that only query a very small subset of S at each iteration. [sent-120, score-0.157]

52 We can also implement an efficient algorithm for stochastic gradient descent for problem (2). [sent-126, score-0.157]

53 If we wanted to apply the squash algorithm to such a stochastic gradient step, only the norms corresponding to Li and Rj would be modified. [sent-127, score-0.64]

54 Hence, in Algorithm 1, if the set of row norms of L and R is sorted from the previous iteration, we can implement a balanced-tree data structure that allows us to perform individual updates in amortized logarithmic time. [sent-128, score-0.091]

55 In the experiments, however, we demonstrate that the proximal point method is still quite efficient and fast when dealing with stochastic gradient updates corresponding to medium-size batches {(i, j)} selected from S, even if a full sort is performed at each squash operation. [sent-130, score-0.743]

56 We tested our proximal point and projected gradient methods on the Netflix dataset, which is the largest publicly available collaborative filtering dataset. [sent-132, score-0.623]

57 The training set contains 100,480,507 ratings from 480,189 anonymous users on 17,770 movie titles. [sent-133, score-0.122]

58 The “qualification set” pairs were selected by Netflix from the most recent ratings for a subset of the users. [sent-135, score-0.082]

59 It includes users with over 10,000 ratings as well as users who rated fewer than 5 movies. [sent-142, score-0.162]

60 05 Algorithm RMSE Training RMSE X max f (X) + + µ X max 2. [sent-146, score-0.164]

61 75 0 5 10 15 20 25 30 35 40 Number of epochs Figure 1: Performance of regularization methods on the Netflix dataset. [sent-161, score-0.092]

62 In our experiments, all ratings were normalized to be zero-mean by subtracting 3. [sent-165, score-0.082]

63 Both proximal-point and projected gradient methods performed 40 epochs (or passes through the training set), with parameters {L, R} updated after each minibatch. [sent-168, score-0.344]

64 For the proximal-point method, µ was set to 5×10−4 , and for the projected gradient algorithm, B was set to 2. [sent-173, score-0.298]

65 5 GHz Intel Xeon, our implementation of projected gradient takes 20. [sent-177, score-0.298]

66 Figure 1 shows predictive performance of both the proximal-point and projected gradient algorithms on the training and qualification set. [sent-180, score-0.298]

67 Observe that the proximal-point algorithm converges considerably faster than projected gradient, but both algorithms achieve a similar RMSE of 0. [sent-181, score-0.184]

68 Figure 1, left panel, further shows that the max-norm based regularization significantly outperforms the corresponding trace-norm based regularization, which is widely used in many large-scale collaborative filtering applications. [sent-184, score-0.186]

69 (i,j)∈E In our nonconvex formulation, this optimization becomes (1 − Ai Aj ) subject to A minimize 2 2,∞ ≤ 1. [sent-188, score-0.137]

70 2 SDPLR Time 3 4 7 29 6 15 21 15 20 33 |V | 2000 2000 2000 5000 7000 10000 10000 10000 14000 20000 |E| 19990 11778 11766 29570 17148 20000 9999 20000 28000 40000 Table 1: Performance of projected gradient on Gset graphs. [sent-235, score-0.298]

71 1% of optimal, running time for 1% of optimal, number of iterations to reach 1% of optimal, primal objective using SDPLR, running time of SDPLR, number of vertices, and number of edges. [sent-239, score-0.127]

72 (a) Spectral Clustering (b) Max-cut clustering Figure 2: Comparison of spectral clustering (left) with MAX - CUT clustering (right). [sent-241, score-0.557]

73 We tested our projected gradient algorithm on graphs drawn from the Gset, a collection of graphs designed for testing the efficacy of max-cut algorithms [17]. [sent-242, score-0.298]

74 On the same modern hardware, a Matlab implementation of our projected gradient method can reach . [sent-244, score-0.298]

75 For the 2-class clustering problem, we first build a K-nearest neighbor graph with K = 10 and weights wij defined as wij = max(si (j), sj (i)), with si (j) = ||x −x ||2 exp − i2σ2j and σi equal to the distance from xi to its Kth closest neighbor. [sent-247, score-0.339]

76 We solve the MAX - CUT problem on the graph Q to find our cluster assignments. [sent-250, score-0.081]

77 For the two moons experiments, we fix D = 100, n = 2000 and σ = . [sent-253, score-0.106]

78 For the clustering experiments, we repeat the randomized rounding technique [16] for 100 trials, and we choose the rounding with highest primal objective. [sent-257, score-0.282]

79 We compare our MAX - CUT clusterings with the spectral clustering method [20] and the Total Variation Graph Cut algorithm [19]. [sent-258, score-0.247]

80 Figure 2 shows the clustering results for spectral clustering and maxcut clustering. [sent-259, score-0.402]

81 In all the trials, spectral clustering incorrectly clustered the two ends of both half-circles. [sent-260, score-0.247]

82 For the clustering problems, the two measures of performance we consider are misclassification error rate (number of misclassified points divided by n) and cut cost. [sent-261, score-0.395]

83 The MAX - CUT clustering obtained smaller misclassification error in 98 of the 100 trials we performed and smaller cut cost in every trial. [sent-263, score-0.441]

84 Error rate, cut cost, and running time comparison for total variation (TV) algorithms. [sent-282, score-0.275]

85 The balance of the cut is computed as are averaged over 100 trials. [sent-283, score-0.24]

86 |V1 |+|V2 | spectral, and The two moons results approximately 1 minute to run 1,000 iterations. [sent-286, score-0.106]

87 Our MAX - CUT clustering algorithm again performs substantially better than the spectral method. [sent-289, score-0.247]

88 7 Summary In this paper we presented practical methods for solving very large scale optimization problems involving a max-norm constraint or regularizer. [sent-290, score-0.071]

89 Using this approaches, we showed evidence that the max-norm can often be superior to established techniques such as trace-norm regularization and spectral clustering, supplementing previous evidence on small-scale problems. [sent-291, score-0.253]

90 JAT supported by ONR award N00014-08-1-0883, DARPA award N66001-08-1-2065, and AFOSR award FA955009-1-0643. [sent-294, score-0.129]

91 Pd i=1 pi = β, (d) wi 2 ≤t With our candidate W = squash(V , β), we need only find t and p to verify the optimality conditions. [sent-297, score-0.107]

92 Let π be as in Algorithm 1 and set t = η 2 and ( vk − 1 1 ≤ π(k) ≤ q η pk = 0 otherwise This definition of p immediately gives (a). [sent-298, score-0.07]

93 For (b), note that by the definition of q, vk ≥ η for 1 ≤ π(k) ≤ q. [sent-299, score-0.07]

94 Moreover, P d X 1≤π(k)≤q vk pk = −q =q+β−q =β, η k=1 yielding (c). [sent-301, score-0.07]

95 Guaranteed minimum rank solutions of matrix equations via nuclear norm minimization. [sent-315, score-0.19]

96 A generalized proximal point algorithm for certain non-convex minimization problems. [sent-345, score-0.148]

97 A singular value thresholding algorithm for e matrix completion. [sent-376, score-0.09]

98 Fixed point and Bregman iterative methods for matrix rank minimization. [sent-383, score-0.099]

99 Improved approximation algorithms for maximum cut and satisfiability problems using semidefinite programming. [sent-400, score-0.273]

100 A total variation-based graph clustering algorithm for cheeger ratio cuts. [sent-414, score-0.203]


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