Non-negative Spectral Learning for Linear Sequential Systems

Method of moments MoM has recently become an appealing alternative to standard iterative approaches like Expectation Maximization EM to learn latent variable models. In addition, MoM-based algorithms come with global convergence guarantees in the form of finite sample bounds. However, given enough computation time, by using restarts and heuristics to avoid local optima, iterative approaches often achieve better performance. We believe that this performance gap is in part due to the fact that MoM-based algorithms can output negative probabilities. By constraining the search space, we propose a non-negative spectral algorithm NNSpectral avoiding computing negative probabilities by design. NNSpectral is compared to other MoM-based algorithms and EM on synthetic problems of the PAutomaC challenge. Not only, NNSpectral outperforms other MoM-based algorithms, but also, achieves very competitive results in comparison to EM.