Closed-form Marginal Likelihood in Gamma-Poisson Matrix Factorization

@InProceedings{pmlr-v80-filstroff18a,
  title = 	 {Closed-form Marginal Likelihood in Gamma-Poisson Matrix Factorization},
  author =       {Filstroff, Louis and Lumbreras, Alberto and F{\'e}votte, C{\'e}dric},
  booktitle = 	 {Proceedings of the 35th International Conference on Machine Learning},
  pages = 	 {1506--1514},
  year = 	 {2018},
  editor = 	 {Dy, Jennifer and Krause, Andreas},
  volume = 	 {80},
  series = 	 {Proceedings of Machine Learning Research},
  month = 	 {10--15 Jul},
  publisher =    {PMLR},
  pdf = 	 {http://proceedings.mlr.press/v80/filstroff18a/filstroff18a.pdf},
  url = 	 {https://proceedings.mlr.press/v80/filstroff18a.html},
  abstract = 	 {We present novel understandings of the Gamma-Poisson (GaP) model, a probabilistic matrix factorization model for count data. We show that GaP can be rewritten free of the score/activation matrix. This gives us new insights about the estimation of the topic/dictionary matrix by maximum marginal likelihood estimation. In particular, this explains the robustness of this estimator to over-specified values of the factorization rank, especially its ability to automatically prune irrelevant dictionary columns, as empirically observed in previous work. The marginalization of the activation matrix leads in turn to a new Monte Carlo Expectation-Maximization algorithm with favorable properties.}
}