Gradient Calculations for Factor Analysis and Selected Variations
نویسنده
چکیده
Abstract We derive the math (objective and gradients) for three closely-related Gaussian-based data models. All three are based on Factor Analysis (FA). The first is a simplification of FA; the second is FA itself; the third is our extension of FA to use a smooth trace norm prior on the factor loading matrix (in place of the hard rank constraint used by FA). See [3] for some background on Factor Analysis (FA). See [1] for help with matrix calculus.
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