[scikit-learn] Handle uncertainties in NMF

[Gael Varoquaux]

Hi Samuël,

On Tue, Feb 13, 2018 at 05:42:54PM +0100, Samuël Weber wrote:
> I was wondering if handling uncertainties in NMF would be possible.
> Indeed, in NMF we minimize a Frobenius norm ||X - WH||², so we may
> quite easily minimize ||(X - WH) / U||², with U the matrix of
> uncertainty.

You can divide your data X by U, run the standard matrix factorization
solver, and multiply the resulting matrix H by U and you'll get the
result that you want.

Best,

Gaël