The decoupled extended Kalman filter for dynamic exponential-family factorization models

Abstract

We specialize the decoupled extended Kalman filter (DEKF) for online parameter learning in factorization models, including factorization machines, matrix and tensor factorization, and illustrate the effectiveness of the approach through simulations. Learning model parameters through the DEKF makes factorization models more broadly useful by allowing for more flexible observations through the entire exponential family, modeling parameter drift, and producing parameter uncertainty estimates that can enable explore/exploit and other applications. We use a more general dynamics of the parameters than the standard DEKF, allowing parameter drift while encouraging reasonable values. We also present an alternate derivation of the regular extended Kalman filter and DEKF that connects these methods to natural gradient methods, and suggests a similarly decoupled version of the iterated extended Kalman filter.