Neural networks have not been widely studied in Collaborative Filtering. For instance, no paper using neural networks was published during the Net-flix Prize apart from Salakhutdinov et al's work on Restricted Boltzmann Machine (RBM) [14]. While deep learning has tremendous success in image and speech recognition, sparse inputs received less attention and remains a challenging problem for neural networks. Nonetheless, sparse inputs are critical for collaborative filtering. In this paper, we introduce a neural network architecture which computes a non-linear matrix factorization from sparse rating inputs. We show experimentally on the movieLens and jester dataset that our method performs as well as the best collaborative filtering algorithms. We provide an implementation of the algorithm as a reusable plugin for Torch [4], a popular neural network framework.