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From | Stas Kolenikov <skolenik@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: latent factor model with stochastic gradient method/alternating least squares |
Date | Wed, 6 Oct 2010 09:05:50 -0500 |
Looks like you are attacking the Netflix challenge. Haven't they closed it? ;) You can cast this as a -gllamm- problem, but with thousands of raters/items it won't be very fast. Otherwise, you can program this with -moptimize-, although you would have to figure out the appropriate scaling of your latents. On Tue, Oct 5, 2010 at 4:22 PM, Dimitriy V. Masterov <dvmaster@gmail.com> wrote: > Suppose I observe lots of consumer ratings (explicit or implicit) of > thousands of items, which may themselves be combinations of other > items. The rating matrix is pretty sparse because most consumers only > try/rate a few of the items. I would like to model how items ratings > are related to each other for the purpose of making recommendations of > new items to try. I am thinking of this as a missing rating problem. > The characteristics of the items are many and are not easily modelled > with fewer dimensions. > > My approach to this problem is to map consumers and items into a joint > latent factor space of dimension f, so that consumer-item interactions > are modeled as inner products in that space. Each item i is associated > with a vector q_i in R^f, which measures the extent to which that item > possesses the latent factors. The vector p_u in R^f measures the > interest of the consumer in each of the latent factors. > > I would like to model the rating for item i by consumer u as: > > r_ui = mu + b_u + b_i + b_u*b_i + q_i'*p_u, > > where mu is a constant which is the same for all products, b_u is a > user fixed effect, b_i is an item fixed effect, and the inner product > of q and p captures the consumer's overall interest in the item's > latent characteristics. The fixed effects are meant to capture the > idea that some items may be more popular and the fact that some users > may rate more harshly, and that these may interact. For example, a > popular item my be judged to be especially poor by a harsh critic. > > For a given f, I would like to find b_i, b_u, mu, and the vectors q_i > and p_u to minimize the sum of squared residuals: > > sum[(r_ui - mu - b_u - b_i - b_u*b_i - q_i'*p_i)^2] for all items and > users that are observed. > > I would like to use these parameters to estimate the rankings of > products that have not been sampled by some consumers. > > I believe it is possible to estimate these parameters with stochastic > gradient descent optimization or with alternating least squares. Does > anyone know if those methods are possible with Mata/Stata or if > there's a way to recast this problem in another way? > > Dimitriy Masterov > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/