Rank Selection in Nonnegative Matrix Factorization using Minimum Description Length.

Nonnegative matrix factorization (NMF) is primarily a linear dimensionality reduction technique that factorizes a nonnegative data matrix into two smaller nonnegative matrices: one that represents the basis of the new subspace and the second that holds the coefficients of all the data points in that new space. In principle, the nonnegativity constraint forces the representation to be sparse and parts based. Instead of extracting holistic features from the data, real parts are extracted that should be significantly easier to interpret and analyze. The size of the new subspace selects how many features will be extracted from the data. An effective choice should minimize the noise while extracting the key features. We propose a mechanism for selecting the subspace size by using a minimum description length technique. We demonstrate that our technique provides plausible estimates for real data as well as accurately predicting the known size of synthetic data. We provide an implementation of our code in a Matlab format.