Bayesian streaming sparse Tucker decomposition
Proceedings of the Thirty-Seventh Conference on Uncertainty in Artificial Intelligence, PMLR 161:558-567, 2021.
Tucker decomposition is a classical tensor factorization model. Compared with the most widely used CP decomposition, the Tucker model is much more flexible and interpretable in that it accounts for every possible (multiplicative) interaction between the factors in different modes. However, this also brings in the risk of overfitting and computational challenges, especially in the case of fast streaming data. To address these issues, we develop BASS-Tucker, a BAyesian Streaming Sparse Tucker decomposition method. We place a spike-and-slab prior over the core tensor elements to automatically select meaningful factor interactions so as to prevent overfitting and to further enhance the interpretability. To enable efficient streaming factorization, we use conditional moment matching and Delta’s method to develop one-shot incremental update of the latent factors and core tensor upon receiving each streaming batch. Thereby, we avoid processing the data points one by one as in the standard assumed density filtering, which needs to update the core tensor for each point and is quite inefficient. We explicitly introduce and update a sparse prior approximation in the running posterior to fulfill effective sparse estimation in the streaming inference. We show the advantage of BASS-Tucker in several real-world applications.