fancyimpute 0.0.4

Matrix completion and feature imputation algorithms

A variety of matrix completion and imputation algorithms implemented in Python.

Usage

from fancyimpute import NuclearNormMinimization

solver = NuclearNormMinimization(
    min_value=0.0,
    max_value=1.0,
    error_tolerance=0.0005)

# X_incomplete has missing data which is represented with NaN values
X_filled = solver.complete(X_incomplete)

Algorithms

• SimpleFill: Replaces missing entries with the mean or median of each column.

• SoftImpute: Matrix completion by iterative soft thresholding of SVD decompositions. Inspired by the softImpute package for R, which is based on Spectral Regularization Algorithms for Learning Large Incomplete Matrices by Mazumder et. al.

• IterativeSVD: Matrix completion by iterative low-rank SVD decomposition. Should be similar to SVDimpute from Missing value estimation methods for DNA microarrays by Troyanskaya et. al.

• MICE: Reimplementation of Multiple Imputation by Chained Equations.

• MatrixFactorization: Direct factorization of the incomplete matrix into low-rank U and V, with an L1 sparsity penalty on the elements of U and an L2 penalty on the elements of V. Solved by gradient descent.

• NuclearNormMinimization: Simple implementation of Exact Matrix Completion via Convex Optimization by Emmanuel Candes and Benjamin Recht using cvxpy. Too slow for large matrices.