June 15, 2009

Non-negative Matrix Factorization

Non-negative matrix factorization (NMF) is a group of algorithms in multivariate analysis and linear algebra where a matrix, X, is factorized into (usually) two matrices, W and H.
A( M by N ) = W(M by K) X H( K by N )W,H : Initialize W and H to random positive matrices.W = ||W*H-A||H = ||H(T)W(T)-A(T)||Iterates W*H until convergence.