This repository contains a simple implementation of a shared matrix factorization. Two matricies D and A are factorized with a shared factor U so that D ≈ UV' and A ≈ UH'.
The corresponding optimization problem looks as follows:
Minimize U, V, H
Where the last term is added for regularization and F is the Frobenius norm.
An SGD based update rule is used to iteratively compute the solution.