Fast singular value thresholding without singular value decomposition (Q2511250)
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English | Fast singular value thresholding without singular value decomposition |
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Fast singular value thresholding without singular value decomposition (English)
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5 August 2014
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The authors consider the singular value thresholding (SVT) problem. They propose a fast algorithm for directly computing SVT for general dense matrices without using SVDs. The algorithm is based on Newton iteration for matrix functions, and the convergence is theoretically guaranteed. Numerical experiments show that the proposed algorithm is more efficient than the SVD-based approaches.
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low rank matrix
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singular value thresholding
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Newton iteration
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