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Weighted Majorization Algorithms for Weighted Least Squares Decomposition Models

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  • Groenen, P.J.F.
  • Giaquinto, P.
  • Kiers, H.A.L.

Abstract

For many least-squares decomposition models efficient algorithms are well known. A more difficult problem arises in decomposition models where each residual is weighted by a nonnegative value. A special case is principal components analysis with missing data. Kiers (1997) discusses an algorithm for minimizing weighted decomposition models by iterative majorization. In this paper, we for computing a solution. We will show that the algorithm by Kiers is a special case of our algorithm. Here, we will apply weighted majorization to weighted principal components analysis, robust Procrustes analysis, and logistic bi-additive models of which the two parameter logistic model in item response theory is a special case. Simulation studies show that weighted majorization is generally faster than the method by Kiers by a factor one to four and obtains the same or better quality solutions. For logistic bi-additive models, we propose a new iterative majorization algorithm called logistic majorization.

Suggested Citation

  • Groenen, P.J.F. & Giaquinto, P. & Kiers, H.A.L., 2003. "Weighted Majorization Algorithms for Weighted Least Squares Decomposition Models," Econometric Institute Research Papers EI 2003-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:1700
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    References listed on IDEAS

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    1. A. Béguin & C. Glas, 2001. "MCMC estimation and some model-fit analysis of multidimensional IRT models," Psychometrika, Springer;The Psychometric Society, vol. 66(4), pages 541-561, December.
    2. Peter Verboon & Willem Heiser, 1992. "Resistant orthogonal procrustes analysis," Journal of Classification, Springer;The Classification Society, vol. 9(2), pages 237-256, December.
    3. Heiser, Willem J., 1987. "Correspondence analysis with least absolute residuals," Computational Statistics & Data Analysis, Elsevier, vol. 5(4), pages 337-356, September.
    4. Kiers, Henk A. L., 2002. "Setting up alternating least squares and iterative majorization algorithms for solving various matrix optimization problems," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 157-170, November.
    5. Henk Kiers, 1997. "Weighted least squares fitting using ordinary least squares algorithms," Psychometrika, Springer;The Psychometric Society, vol. 62(2), pages 251-266, June.
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    Cited by:

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    2. de Leeuw, Jan, 2006. "Principal component analysis of binary data by iterated singular value decomposition," Computational Statistics & Data Analysis, Elsevier, vol. 50(1), pages 21-39, January.
    3. Unkel, S. & Trendafilov, N.T., 2010. "A majorization algorithm for simultaneous parameter estimation in robust exploratory factor analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3348-3358, December.

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