An online expectation-maximisation algorithm for nonnegative matrix factorisation models

In this paper we formulate the nonnegative matrix factorisation (NMF) problem as a maximum likelihood estimation problem for hidden Markov models and propose online expectation-maximisation (EM) algorithms to estimate the NMF and the other unknown static parameters. We also propose a sequential Monte Carlo approximation of our online EM algorithm. We show the performance of the proposed method with two numerical examples. © 2012 IFAC.