Low-Rank Optimization With Convex Constraints
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Abstract: The problem of low-rank approximation with convex constraints, which appears in data analysis, system identification, model order reduction, low-order controller design and low-complexity modelling is considered. Given a matrix, the objective is to find a low-rank approximation that meets rank and convex constraints, while minimizing the distance to the matrix in the squared Frobenius norm. In many situations, this non-convex problem is convexified by nuclear norm regularization. However, we will see that the approximations obtained by this method may be far from optimal. In this paper, we propose an alternative convex relaxation that uses the convex envelope of the squared Frobenius norm and the rank constraint. With this approach, easily verifiable conditions are obtained under which the solutions to the convex relaxation and the original non-convex problem coincide. An SDP representation of the convex envelope is derived, which allows us to apply this approach to several known problems. Our example on optimal low-rank Hankel approximation/model reduction illustrates that the proposed convex relaxation performs consistently better than nuclear norm regularization and may outperform balanced truncation.
Cited in
(16)- Optimization on low rank nonconvex structures
- Convex envelopes for fixed rank approximation
- Optimal rank-1 Hankel approximation of matrices: Frobenius norm and spectral norm and Cadzow's algorithm
- Convex low rank approximation
- Efficient proximal mapping computation for low-rank inducing norms
- Optimization challenges in the structured low rank approximation problem
- Local minima and convergence in low-rank semidefinite programming
- Low-rank nonnegative tensor approximation via alternating projections and sketching
- Low-rank inducing norms with optimality interpretations
- Finite time LTI system identification
- Non-convex matrix completion and related problems via strong duality
- Best Low-rank Approximations and Kolmogorov n-widths
- Normal Cones Intersection Rule and Optimality Analysis for Low-Rank Matrix Optimization with Affine Manifolds
- Algorithm for orthogonal matrix nearness and its application to feature representation
- Quasioptimal alternating projections and their use in low-rank approximation of matrices and tensors
- A novel nonconvex rank approximation with application to the matrix completion
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