Last week I gave a brief introduction to Spectral Learning. This is a topic I’ve been wanting to know more about since reading the (very cool) NIPS paper from Lars Buesing, Jakob Macke and Maneesh Sahani, which describes a spectral method for fitting latent variable models of multi-neuron spiking activity (Buesing et al 2012). I presented some of the slides (and a few video demos) from the spectral learning tutorial organized by Geoff Gordon, Byron Boots, and Le Song at AISTATS 2012.
So, what is spectral learning, and what is it good for? The basic idea is that we can fit latent variable models very cheaply using just the eigenvectors of a covariance matrix, computed directly from the observed data. This stands in contrast to “standard” maximum likelihood methods (e.g., EM or gradient ascent), which require expensive iterative computations and are plagued by local optima.
Pillow Lab Blog 