Multi-layer Sparse Matrix Factorization

Abstract : —The applicability of many signal processing and data analysis techniques is limited by their prohibitive computational complexity. The cost of such techniques is often dominated by the application of large linear operators. This short paper introduces an algorithm aimed at reducing the complexity of applying such operators by approximately fac-torizing the corresponding matrix into few sparse factors. The proposed approach, which relies on recent advances in non-convex optimization, is first exposed, and then demonstrated experimentally.