Matrix Completion via Non-Convex Regularization:
This R package provides iterative algorithms for matrix completion based on non-convex regularization of the singular values. The main approach uses iterative MC+ thresholded singular value decompositions to impute the missing values, and has an "EM" flavor, in that at each iteration the matrix is completed with the current estimate. For large matrices there is a special sparse-matrix class named "Incomplete" that efficiently handles all computations. The package includes procedures for centering and scaling rows, columns or both.
Most of the functionality of the ncImpute package is taken directly form the related softImpute package through the functions biScale, impute and svd.als, as well as the classes "Incomplete" and "SparseplusLowRank" with its associated methods. Additionally, the main function ncImpute(x, rank.max=2, lambda=0, ...) carrying out MC+ regularized matrix completion is a modified version of the function softImpute(x, rank.max=2, lambda=0, ...) from the softImpute package.
To install the current source version of our package, you should first have installed the Matrix and svd packages available from the CRAN repository. Users with a Windows 10 operating system simply have to type the follwing instruction within the current R session:
install.packages("/your_file_path/ncImpute_1.0.tar.gz", lib="/your_R_packages_library", repos=NULL, type="source")
For users with Mac OS X 10.4 and higher, you must first make sure you have an updated version of GNU Fortran properly installed.
A series of worked examples follow below. More documentation to come.
library(ncImpute)
set.seed(1)
n=200
p=100
J=50
np=n*p
missfrac=0.3
x=matrix(rnorm(n*J),n,J) %*% matrix(rnorm(J*p),J,p) + matrix(rnorm(np),n,p)/5
ix=seq(np)
imiss=sample(ix,np*missfrac,replace=FALSE)
xna=x
xna[imiss]=NA
###uses regular matrix method for matrices with NAs
fit1=ncImpute(xna,rank=50,lambda=30,g=20)
###uses sparse matrix method for matrices of class "Incomplete"
xnaC=as(xna,"Incomplete")
fit2=ncImpute(xnaC,rank=50,lambda=30,g=20)
###uses "als" algorithm
fit3=ncImpute(xnaC,rank=50,lambda=30,g=20,type="als")
fit4=ncImpute(xnaC,rank=50,lambda=30,type="als",type.thresh="SOFT")
ximp=complete(xna,fit1$fit)
### first scale xna
xnas=biScale(xna)
fit5=ncImpute(xnas,rank=50,lambda=10)
ximp=complete(xna,fit4$fit)
impute(fit5$fit,i=c(1,3,7),j=c(2,5,10))
impute(fit5$fit,i=c(1,3,7),j=c(2,5,10),unscale=FALSE)#ignore scaling and centering