Prox-regularity of rank constraint sets and implications for algorithms (Q2251196)

This paper deals with a set of matrices with rank less or equal to a specified number. The results apply to linear systems as well as to nonconvex systems with rank constraints. A characterization of the normal cone to the lower level sets of the rank function is developed. This enables the author to obtain a simple proof of the prox-regularity of such sets. Then it allows for a straight-forward application of previous results on the local linear convergence of approximate alternating projections for finding the intersection of rank constrained sets and another closed set, as long as the intersection is strongly regular at a reference point \(x\). The results are extended to the elementary steepest descent algorithm for minimizing the sum of squared distances to sets, one of which is a rank constraint set.