A fast algorithm for nonnegative matrix factorization and its convergence.

Nonnegative matrix factorization (NMF) has recently become a very popular unsupervised learning method because of its representational properties of factors and simple multiplicative update algorithms for solving the NMF. However, for the common NMF approach of minimizing the Euclidean distance between approximate and true values, the convergence of multiplicative update algorithms has not been well resolved. This paper first discusses the convergence of existing multiplicative update algorithms. We then propose a new multiplicative update algorithm for minimizing the Euclidean distance between approximate and true values. Based on the optimization principle and the auxiliary function method, we prove that our new algorithm not only converges to a stationary point, but also does faster than existing ones. To verify our theoretical results, the experiments on three data sets have been conducted by comparing our proposed algorithm with other existing methods.