# Nonnegative matrix factorization

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set <math>_{}Z^\star\!=Q\Lambda Q^{\rm T}\!\in\mathbb{S}^\mathbf{8}</math> to a nonincreasingly ordered diagonalization and | set <math>_{}Z^\star\!=Q\Lambda Q^{\rm T}\!\in\mathbb{S}^\mathbf{8}</math> to a nonincreasingly ordered diagonalization and | ||

- | <math>_{}U^\star\!=_{\!}Q(:\,,_{^{}}3\!:\!8)\!\in_{\!}\ | + | <math>_{}U^\star\!=_{\!}Q(:\,,_{^{}}3\!:\!8)\!\in_{\!}\mathbb{R}^{\mathbf{8}\times\mathbf{6}}</math>, |

then <math>Y\!=U^\star U^{\star\rm T}.</math> | then <math>Y\!=U^\star U^{\star\rm T}.</math> | ||

## Revision as of 13:40, 24 November 2011

Exercise from Convex Optimization & Euclidean Distance Geometry, ch.4:

Given rank-2 nonnegative matrix

find a nonnegative factorization by solving

which follows from the fact, at optimality,

Use the known closed-form solution for a direction vector to regulate rank (rank constraint is replaced) by Convex Iteration;

set to a nonincreasingly ordered diagonalization and , then

In summary, initialize then alternate solution of

with

Global convergence occurs, in this example, in only a few iterations.