Closed-form marginal likelihood in Gamma-Poisson factorization

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 and in particular its ability to automatically prune spurious 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.