Conference paper

Tichavský P., Koldovský Z.

Proceedings of IEEE International Conference on Acoustics, Speech and Signal Processing 2011

IEEE

Piscataway

2011

978-1-4577-0539-7

Ing. Petr Tichavský, CSc. (ÚTIA - Oddělení stochastické informatiky)

Multilinear models, canonical polyadic decomposition, Cramer

In this paper, stability of the CANDECOMP-PARAFAC (CP) tensor decomposition is addressed. It is done by deriving the Cramer-Rao lower bound (CRLB) on variance of an unbiased estimate of the tensor parameters, i.e. elements of its factor matrices, from its noisy observation. Analytical closed-form expressions of the bound are derived for 3 way tensors of rank 1 and 2. As a byproduct, a novel computationally efficient expression for the inverse of the approximate Hessian matrix is derived.