Tensor Train polynomial models via Riemannian optimization

Modeling interactions between features improves the performance of machine learning solutions in many domains (e.g. recommender systems or sentiment analysis). In this paper, we introduce Exponential Machines (ExM), a predictor that models all interactions of every order. The key idea is to represent an exponentially large tensor of parameters in a factorized format called Tensor Train (TT). The Tensor Train format regularizes the model and lets you control the number of underlying parameters. To train the model, we develop a stochastic version of Riemannian optimization, which allows us to fit tensors with $2^{30}$ entries. We show that the model achieves state-of-the-art performance on synthetic data with high-order interactions.