This is the experimental code for the following paper:
* H.-F. Yu, N. Rao, and I. S. Dhillon. Temporal Regularized
Matrix Factoriztion for High-dimensional Time Series Prediction. Advances
in Neural Information Processing Systems (NIPS) 29, 2016.
The core codes of TRMF are implemented in C++. The original experiments are done using a Matlab interface. Upon the requests, I refactored the core C++ codes and created an easy-to-use Python interface (with Scipy/Numpy).
Please acknowledge the use of the code with a citation.
* H.-F. Yu, N. Rao, and I. S. Dhillon. Temporal Regularized
Matrix Factoriztion for High-dimensional Time Series Prediction. Advances
in Neural Information Processing Systems (NIPS) 29, 2016.
@inproceedings{hfy16a,
title={Temporal Regularized Matrix Factoriztion for High-dimensional Time Series Prediction},
author={Yu, Hsiang-Fu and Rao, Nikhil and Dhillon, Inderjit S.},
booktitle = {Advances in Neural Information Processing Systems 28},
year={2016}
}
If you have any questions regarding the code, feel free to contact Hsiang-Fu Yu (rofuyu at cs utexas edu).