Higher-order singular value decomposition: Difference between revisions

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|___location=Copenhagen, Denmark
|year=2002
|url= https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=67eb22ae0baf86af77188fc0ab27edacf07a9140}}</ref><ref name=Vasilescu2003/><ref name=":Vasilescu2005">{{cite conference
|author=M. A. O. Vasilescu, D. Terzopoulos
|title=Multilinear Independent Component Analysis
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|___location=San Diego, CA
|year=2005}}</ref> introduced algorithmic clarity. Vasilescu and Terzopoulos<ref name=":Vasilescu2002"/><ref name=":Vasilescu2005"/>
introduced the '''M-mode SVD''', which is the classic algorithm that is currently referred in the literature as the '''Tucker''' or the '''HOSVD'''. The Tucker's algorithm,approach and De LathauwerLathauwer’s ''et al.'' companion algorithm<ref name=":2"/>implementation are both sequential, relyingand rely on iterative methodsprocedures such as gradient descent or the power method. By contrast, respectivelythe M-mode SVD provides a closed-form solution that can be executed sequentially and is well-suited for parallel computation.
 
: This misattribution has had lasting impact on the scholarly record, obscuring the original source of a widely adopted algorithm, and complicating efforts to trace its development, reproduce results, and recognizing the respective contributions of different research efforts.
 
Vasilescu and Terzopoulos developed an elegant two-step algorithm that computes orthonormal subspaces in closed form, and may be executed iteratively or in parallel whose simplicity belies the complexity it resolves. The term '''M-mode SVD''' accurately reflects the algorithm employed. It captures the actual computation, a set of SVDs on mode-flattenings without making assumptions about the structure of the core tensor or implying a rank decomposition.
 
Robust and L1-norm-based variants of this decomposition framework have since been proposed.<ref name="robustHOSVD">{{Cite journal|last1=Godfarb|first1=Donald|last2=Zhiwei|first2=Qin|title=Robust low-rank tensor recovery: Models and algorithms|journal=SIAM Journal on Matrix Analysis and Applications|volume=35|number=1|pages=225–253|date=2014|doi=10.1137/130905010|arxiv=1311.6182|s2cid=1051205}}</ref><ref name="l1tucker">{{cite journal|last1=Chachlakis|first1=Dimitris G.|last2=Prater-Bennette|first2=Ashley|last3=Markopoulos|first3=Panos P.|title=L1-norm Tucker Tensor Decomposition|journal=IEEE Access|date=22 November 2019|volume=7|pages=178454–178465|doi=10.1109/ACCESS.2019.2955134|doi-access=free|arxiv=1904.06455|bibcode=2019IEEEA...7q8454C}}</ref><ref name="l1tucker3">{{cite journal|last1=Markopoulos|first1=Panos P.|last2=Chachlakis|first2=Dimitris G.|last3=Papalexakis|first3=Evangelos|title=The Exact Solution to Rank-1 L1-Norm TUCKER2 Decomposition|journal=IEEE Signal Processing Letters|volume=25|issue=4|date=April 2018|pages=511–515|doi=10.1109/LSP.2018.2790901|arxiv=1710.11306|bibcode=2018ISPL...25..511M|s2cid=3693326}}</ref><ref name="l1tucker2">{{cite book|last1=Markopoulos|first1=Panos P.|last2=Chachlakis|first2=Dimitris G.|last3=Prater-Bennette|first3=Ashley|title=2018 IEEE Global Conference on Signal and Information Processing (GlobalSIP) |chapter=L1-Norm Higher-Order Singular-Value Decomposition |date=21 February 2019|pages=1353–1357|doi=10.1109/GlobalSIP.2018.8646385|isbn=978-1-7281-1295-4|s2cid=67874182}}</ref>
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For the purpose of this article, the abstract tensor <math>\mathcal{A}</math> is assumed to be given in coordinates with respect to some basis as a [[Tensor#As multidimensional arrays|M-way array]], also denoted by <math>\mathcal{A}\in\mathbb{C}^{I_1 \times I_2 \cdots \times \cdots I_m \cdots\times I_M}</math>, where ''M'' is the number of modes and the order of the tensor. <math>\mathbb{C}</math> is the complex numbers and it includes both the real numbers <math>\mathbb{R}</math> and the pure imaginary numbers.
 
Let <math>\mathcal{A}_{[m]}\in\mathbb{C}^{I_m \times (I_1 I_2 \cdots I_{m-1} I_{m+1} \cdots I_M)}</math> denote the [[Tensor reshaping#Mode-m Flattening / Mode-m Matrixization| mode-''m'' flattening]] of <math>\mathcal{A}</math>, so that the left index of <math>\mathcal{A}_{[m]}</math> corresponds to the <math>m</math>'th index <math>\mathcal{A}</math> and the right index of <math>\mathcal{A}_{[m]}</math> corresponds to all other indices of <math>\mathcal{A
}</math> combined. Let <math>{\bf U}_m \in \mathbb{C}^{I_m \times I_m}</math>be a [[unitary matrix]] containing a basis of the left singular vectors of the <math>\mathcal{A}_{[m]}</math> such that the ''j''th column <math>\mathbf{u}_j</math> of <math>{\bf U}_m</math> corresponds to the ''j''th largest singular value of <math>\mathcal{A}_{[m]}</math>. Observe that the '''mode/factor matrix''' <math>{\bf U}_m</math> does not depend on the particular on the specific definition of the mode ''m'' flattening. By the properties of the [[multilinear multiplication]], we have<math display="block">\begin{array}{rcl}
\mathcal{A}
&=& \mathcal{A}\times ({\bf I}, {\bf I}, \ldots, {\bf I}) \\
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=== Classic computation ===
While De Lathauwer et al. clarified Tucker’s concepts through two influential papers, Vasilescu and Terzopoulos synthesizedprovided the ideas into an elegant two-step algorithm—one whose simplicity belies the complexity italgoritmic resolvesclarity. The Tucker algorithm and De Lathauwer ''et al.''<ref name=:2/> companion algorithm are sequential, relying on iterative methods such as gradient descent or the power method. In contrast, the '''M-mode SVD''' is acomputes the othonormal subspaces in closed-form solution that can be computedexecuted sequentially, but it is also well-suited for parallel computation.
 
=== M-mode SVD (also referred to as HOSVD or Tucker)===
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=== Interlacing computation ===
A strategy that is significantly faster when some or all <math>R_m \ll I_m </math> consists of interlacing the computation of the core tensor and the factor matrices, as follows:<ref name=Vasilescu2003>{{cite conference
A strategy that is significantly faster when some or all <math>R_m \ll I_m </math> consists of interlacing the computation of the core tensor and the factor matrices, as follows:<ref name=":4">{{Cite journal|last1=Vannieuwenhoven|first1=N.|last2=Vandebril|first2=R.|last3=Meerbergen|first3=K.|date=2012-01-01|title=A New Truncation Strategy for the Higher-Order Singular Value Decomposition|journal=SIAM Journal on Scientific Computing|volume=34|issue=2|pages=A1027–A1052|doi=10.1137/110836067|bibcode=2012SJSC...34A1027V |s2cid=15318433 |issn=1064-8275|url=https://lirias.kuleuven.be/handle/123456789/337210}}</ref><ref name=":5">{{Cite book|title=Tensor Spaces and Numerical Tensor Calculus {{!}} SpringerLink|volume = 42|last=Hackbusch|first=Wolfgang|language=en-gb|doi=10.1007/978-3-642-28027-6|series = Springer Series in Computational Mathematics|year = 2012|isbn = 978-3-642-28026-9| s2cid=117253621 }}</ref><ref name=":fist_hosvd">{{Cite conference|last1=Cobb|first1=Benjamin|last2=Kolla|first2=Hemanth|last3=Phipps|first3=Eric|last4=Çatalyürek|first4=Ümit V.|date=2022|title=FIST-HOSVD: Fused in-Place Sequentially Truncated Higher Order Singular Value Decomposition|conference=Platform for Advanced Scientific Computing(PASC) |language=en|isbn=9781450394109|doi=10.1145/3539781.3539798|doi-access=free}}</ref>
|title=Multilinear Subspace Analysis for Image Ensembles
|last1=Vasilescu
|first1=M.A.O.
|last2=Terzopoulos
|first2=D.
|book-title=Proc. Computer Vision and Pattern Recognition Conf. (CVPR '03)
|volume=2
|___location=Madison, WI
|year=2003
A strategy that is significantly faster when some or all <math>R_m \ll I_m |pages=93-99}}</mathref> consists of interlacing the computation of the core tensor and the factor matrices, as follows:<ref name=":4">{{Cite journal|last1=Vannieuwenhoven|first1=N.|last2=Vandebril|first2=R.|last3=Meerbergen|first3=K.|date=2012-01-01|title=A New Truncation Strategy for the Higher-Order Singular Value Decomposition|journal=SIAM Journal on Scientific Computing|volume=34|issue=2|pages=A1027–A1052|doi=10.1137/110836067|bibcode=2012SJSC...34A1027V |s2cid=15318433 |issn=1064-8275|url=https://lirias.kuleuven.be/handle/123456789/337210}}</ref><ref name=":5">{{Cite book|title=Tensor Spaces and Numerical Tensor Calculus {{!}} SpringerLink|volume = 42|last=Hackbusch|first=Wolfgang|language=en-gb|doi=10.1007/978-3-642-28027-6|series = Springer Series in Computational Mathematics|year = 2012|isbn = 978-3-642-28026-9| s2cid=117253621 }}</ref><ref name=":fist_hosvd">{{Cite conference|last1=Cobb|first1=Benjamin|last2=Kolla|first2=Hemanth|last3=Phipps|first3=Eric|last4=Çatalyürek|first4=Ümit V.|date=2022|title=FIST-HOSVD: Fused in-Place Sequentially Truncated Higher Order Singular Value Decomposition|conference=Platform for Advanced Scientific Computing(PASC) |language=en|isbn=9781450394109|doi=10.1145/3539781.3539798|doi-access=free}}</ref>
 
* Set <math>\mathcal{A}^0 = \mathcal{A}</math>;
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* Compute a rank-<math>\bar R_m </math> truncated SVD <math>\mathcal{A}_{[m]} \approx U_m \Sigma_m V^T_m </math>, and store the top <math>\bar R_m </math> left singular vectors <math>U_m \in F^{I_m \times \bar R_m}</math>;
while a '''sequentially truncated M-mode SVD (HOSVD)''' (or '''successively truncated M-mode SVD(HOSVD)''') is obtained by replacing step 2 in the interlaced computation by
* Compute a rank-<math>\bar R_m </math> truncated SVD <math>\mathcal{A}_{[m]}^{m-1} \approx U_m \Sigma_m V^T_m </math>, and store the top <math>\bar R_m </math> left singular vectors <math>U_m \in F^{I_m \times \bar R_m}</math>. Unfortunately, truncation does not result in an optimal solution for the best low multilinear rank optimization problem,.<ref name=":2" /><ref name=":Vasilescu2002"Vasilescu2003/><ref name=":4" /><ref name=":fist_hosvd" /> However, both the classically and interleaved truncated M-mode SVD/HOSVD result in a '''quasi-optimal''' solution:<ref name=":4" Vasilescu2003/><ref name=":fist_hosvd4" /><ref name=":5" /><ref>{{Cite journal|last=Grasedyck|first=L.|date=2010-01-01|title=Hierarchical Singular Value Decomposition of Tensors|journal=SIAM Journal on Matrix Analysis and Applications|volume=31|issue=4|pages=2029–2054|doi=10.1137/090764189|issn=0895-4798|citeseerx=10.1.1.660.8333}}</ref> if <math>\mathcal{\bar A}_t </math> denotes the classically or sequentially truncated M-mode SVD(HOSVD) and <math>\mathcal{\bar A}^* </math> denotes the optimal solution to the best low multilinear rank approximation problem, then<math display="block">\| \mathcal{A} - \mathcal{\bar A}_t \|_F \le \sqrt{M} \| \mathcal{A} - \mathcal{\bar A}^* \|_F; </math>in practice this means that if there exists an optimal solution with a small error, then a truncated M-mode SVD/HOSVD will for many intended purposes also yield a sufficiently good solution.
 
== Applications ==
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The concept of M-mode SVD (HOSVD) was carried over to functions by Baranyi and Yam via the [[TP model transformation]].<ref name="Baranyi042" /><ref name="compind2" /> This extension led to the definition of the M-mode SVD/HOSVD canonical form of tensor product functions and Linear Parameter Varying system models<ref name="canon12">{{cite conference|title=Definition of the HOSVD-based canonical form of polytopic dynamic models|author1=P. Baranyi|author2=L. Szeidl|author3=P. Várlaki|author4=Y. Yam|date=July 3–5, 2006|___location=Budapest, Hungary|pages=660–665|conference=3rd International Conference on Mechatronics (ICM 2006)}}</ref> and to convex hull manipulation based control optimization theory, see [[TP model transformation in control theories]].
 
M-mode SVD (HOSVD) was proposed to be applied to multi-viewway data analysis in an unsupervised manner<ref>{{Cite journal|author1=Y-h. Taguchi|date=August 2017|title=Tensor decomposition-based unsupervised feature extraction applied to matrix products for multi-view data processing|journal=PLOS ONE|volume=12|issue=8|pages=e0183933|doi=10.1371/journal.pone.0183933|pmc=5571984|pmid=28841719|bibcode=2017PLoSO..1283933T|doi-access=free}}</ref> and was successfully applied to in silico drug discovery from gene expression.<ref>{{Cite journal|author1=Y-h. Taguchi|date=October 2017|title=Identification of candidate drugs using tensor-decomposition-based unsupervised feature extraction in integrated analysis of gene expression between diseases and DrugMatrix datasets|journal=Scientific Reports|volume=7|issue=1|pages=13733|doi=10.1038/s41598-017-13003-0|pmc=5653784|pmid=29062063|bibcode=2017NatSR...713733T}}</ref>
 
== Robust L1-norm variant ==