Low-Rank Dependence Decomposition via Accelerated Symmetric Non-negative Matrix Factorization

Abstract

Symmetric non-negative matrix factorization (SymNMF) recovers latent group structure from a dependence matrix, but its dense, quadratic-memory objective has confined prior work to moderate sizes. We present a large-scale GPU study of seven algorithm families (over 30 configurations) on absolute Pearson correlation and tail pairwise dependence matrices from Extreme Value Theory, two proxies for empirical risk-factor estimation on large portfolios. A trace-identity reformulation eliminates all $n\times n$ intermediates, so a single GPU reaches $n\approx 10^5$ and multi-node distribution scales to $n=10^6$ and beyond. Under a two-phase protocol, eleven methods converge at moderate scale; six remain efficient enough at $n=10^5$ (five AdaGrad-family plus ADMM), and five AdaGrad-family methods still converge at $n=10^6$: AdaGrad, RMSprop, and three we introduce (Piecewise AdaGrad, Row-Stochastic SVRG, Block-SVRG AdaptGrow). At $n=10^6$ the fastest solver tracks the matrix spectrum: Block-SVRG AdaptGrow wins on the flat, ill-conditioned tail-dependence spectrum, where its lower per-iteration cost decides a long factorization, and full-batch AdaGrad wins on the dominant-low-rank correlation spectrum, where the run is short. We also benchmark spherical K-means as a hard-label baseline: cheaper when angular cluster structure is present, yet provably degenerate once the matrix collapses toward a single common factor, where the soft factorization remains necessary.

40 pages