Factorization Machines
======================
Factorization machines (FM) :cite:`Rendle.2010`, proposed by Steffen
Rendle in 2010, is a supervised algorithm that can be used for
classification, regression, and ranking tasks. It quickly took notice
and became a popular and impactful method for making predictions and
recommendations. Particularly, it is a generalization of the linear
regression model and the matrix factorization model. Moreover, it is
reminiscent of support vector machines with a polynomial kernel. The
strengths of factorization machines over the linear regression and
matrix factorization are: (1) it can model :math:`\chi`-way variable
interactions, where :math:`\chi` is the number of polynomial order and
is usually set to two. (2) A fast optimization algorithm associated with
factorization machines can reduce the polynomial computation time to
linear complexity, making it extremely efficient especially for high
dimensional sparse inputs. For these reasons, factorization machines are
widely employed in modern advertisement and products recommendations.
The technical details and implementations are described below.
2-Way Factorization Machines
----------------------------
Formally, let :math:`x \in \mathbb{R}^d` denote the feature vectors of
one sample, and :math:`y` denote the corresponding label which can be
real-valued label or class label such as binary class “click/non-click”.
The model for a factorization machine of degree two is defined as:
.. math::
\hat{y}(x) = \mathbf{w}_0 + \sum_{i=1}^d \mathbf{w}_i x_i + \sum_{i=1}^d\sum_{j=i+1}^d \langle\mathbf{v}_i, \mathbf{v}_j\rangle x_i x_j
where :math:`\mathbf{w}_0 \in \mathbb{R}` is the global bias;
:math:`\mathbf{w} \in \mathbb{R}^d` denotes the weights of the i-th
variable; :math:`\mathbf{V} \in \mathbb{R}^{d\times k}` represents the
feature embeddings; :math:`\mathbf{v}_i` represents the
:math:`i^\mathrm{th}` row of :math:`\mathbf{V}`; :math:`k` is the
dimensionality of latent factors; :math:`\langle\cdot, \cdot \rangle` is
the dot product of two vectors.
:math:`\langle \mathbf{v}_i, \mathbf{v}_j \rangle` model the interaction
between the :math:`i^\mathrm{th}` and :math:`j^\mathrm{th}` feature.
Some feature interactions can be easily understood so they can be
designed by experts. However, most other feature interactions are hidden
in data and difficult to identify. So modeling feature interactions
automatically can greatly reduce the efforts in feature engineering. It
is obvious that the first two terms correspond to the linear regression
model and the last term is an extension of the matrix factorization
model. If the feature :math:`i` represents a item and the feature
:math:`j` represents a user, the third term is exactly the dot product
between user and item embeddings. It is worth noting that FM can also
generalize to higher orders (degree > 2). Nevertheless, the numerical
stability might weaken the generalization.
An Efficient Optimization Criterion
-----------------------------------
Optimizing the factorization machines in a straight forward method leads
to a complexity of :math:`\mathcal{O}(kd^2)` as all pairwise
interactions require to be computed. To solve this inefficiency problem,
we can reorganize the third term of FM which could greatly reduce the
computation cost, leading to a linear time complexity
(:math:`\mathcal{O}(kd)`). The reformulation of the pairwise interaction
term is as follows:
.. math::
\begin{aligned}
&\sum_{i=1}^d \sum_{j=i+1}^d \langle\mathbf{v}_i, \mathbf{v}_j\rangle x_i x_j \\
&= \frac{1}{2} \sum_{i=1}^d \sum_{j=1}^d\langle\mathbf{v}_i, \mathbf{v}_j\rangle x_i x_j - \frac{1}{2}\sum_{i=1}^d \langle\mathbf{v}_i, \mathbf{v}_i\rangle x_i x_i \\
&= \frac{1}{2} \big (\sum_{i=1}^d \sum_{j=1}^d \sum_{l=1}^k\mathbf{v}_{i, l} \mathbf{v}_{j, l} x_i x_j - \sum_{i=1}^d \sum_{l=1}^k \mathbf{v}_{i, l} \mathbf{v}_{i, l} x_i x_i \big)\\
&= \frac{1}{2} \sum_{l=1}^k \big ((\sum_{i=1}^d \mathbf{v}_{i, l} x_i) (\sum_{j=1}^d \mathbf{v}_{j, l}x_j) - \sum_{i=1}^d \mathbf{v}_{i, l}^2 x_i^2 \big ) \\
&= \frac{1}{2} \sum_{l=1}^k \big ((\sum_{i=1}^d \mathbf{v}_{i, l} x_i)^2 - \sum_{i=1}^d \mathbf{v}_{i, l}^2 x_i^2)
\end{aligned}
With this reformulation, the model complexity are decreased greatly.
Moreover, for sparse features, only non-zero elements needs to be
computed so that the overall complexity is linear to the number of
non-zero features.
To learn the FM model, we can use the MSE loss for regression task, the
cross entropy loss for classification tasks, and the BPR loss for
ranking task. Standard optimizers such as SGD and Adam are viable for
optimization.
.. code:: python
from d2l import mxnet as d2l
from mxnet import init, gluon, np, npx
from mxnet.gluon import nn
import os
import sys
npx.set_np()
Model Implementation
--------------------
The following code implement the factorization machines. It is clear to
see that FM consists a linear regression block and an efficient feature
interaction block. We apply a sigmoid function over the final score
since we treat the CTR prediction as a classification task.
.. code:: python
class FM(nn.Block):
def __init__(self, field_dims, num_factors):
super(FM, self).__init__()
num_inputs = int(sum(field_dims))
self.embedding = nn.Embedding(num_inputs, num_factors)
self.fc = nn.Embedding(num_inputs, 1)
self.linear_layer = nn.Dense(1, use_bias=True)
def forward(self, x):
square_of_sum = np.sum(self.embedding(x), axis=1) ** 2
sum_of_square = np.sum(self.embedding(x) ** 2, axis=1)
x = self.linear_layer(self.fc(x).sum(1)) \
+ 0.5 * (square_of_sum - sum_of_square).sum(1, keepdims=True)
x = npx.sigmoid(x)
return x
Load the Advertising Dataset
----------------------------
We use the CTR data wrapper from the last section to load the online
advertising dataset.
.. code:: python
batch_size = 2048
data_dir = d2l.download_extract('ctr')
train_data = d2l.CTRDataset(os.path.join(data_dir, 'train.csv'))
test_data = d2l.CTRDataset(os.path.join(data_dir, 'test.csv'),
feat_mapper=train_data.feat_mapper,
defaults=train_data.defaults)
num_workers = 0 if sys.platform.startswith('win') else 4
train_iter = gluon.data.DataLoader(
train_data, shuffle=True, last_batch='rollover', batch_size=batch_size,
num_workers=num_workers)
test_iter = gluon.data.DataLoader(
test_data, shuffle=False, last_batch='rollover', batch_size=batch_size,
num_workers=num_workers)
Train the Model
---------------
Afterwards, we train the model. The learning rate is set to 0.01 and the
embedding size is set to 20 by default. The ``Adam`` optimizer and the
``SigmoidBinaryCrossEntropyLoss`` loss are used for model training.
.. code:: python
ctx = d2l.try_all_gpus()
net = FM(train_data.field_dims, num_factors=20)
net.initialize(init.Xavier(), ctx=ctx)
lr, num_epochs, optimizer = 0.02, 30, 'adam'
trainer = gluon.Trainer(net.collect_params(), optimizer,
{'learning_rate': lr})
loss = gluon.loss.SigmoidBinaryCrossEntropyLoss()
d2l.train_ch13(net, train_iter, test_iter, loss, trainer, num_epochs, ctx)
.. parsed-literal::
:class: output
loss 0.505, train acc 0.761, test acc 0.759
151228.5 examples/sec on [gpu(0), gpu(1)]
.. figure:: output_fm_94490b_7_1.svg
Summary
-------
- FM is a general framework that can be applied on a variety of tasks
such as regression, classification, and ranking.
- Feature interaction/crossing is important for prediction tasks and
the 2-way interaction can be efficiently modeled with FM.
Exercise
--------
- Can you test FM on other dataset such as Avazu, MovieLens, and Criteo
datasets?
- Vary the embedding size to check its impact on performance, can you
observe a similar pattern as that of matrix factorization?
`Discussions `__
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.. |image0| image:: ../img/qr_fm.svg