Recovery of Low-Rank Matrices Under Affine Constraints via a Smoothed Rank Function

DOI10.1109/TSP.2013.2295557zbMATH Open1394.94363arXiv1308.2293MaRDI QIDQ4579014FDOQ4579014

Mohammadreza Malek-Mohammadi, C. Jutten, Massoud Babaie-Zadeh, Arash A. Amini

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: In this paper, the problem of matrix rank minimization under affine constraints is addressed. The state-of-the-art algorithms can recover matrices with a rank much less than what is sufficient for the uniqueness of the solution of this optimization problem. We propose an algorithm based on a smooth approximation of the rank function, which practically improves recovery limits on the rank of the solution. This approximation leads to a non-convex program; thus, to avoid getting trapped in local solutions, we use the following scheme. Initially, a rough approximation of the rank function subject to the affine constraints is optimized. As the algorithm proceeds, finer approximations of the rank are optimized and the solver is initialized with the solution of the previous approximation until reaching the desired accuracy. On the theoretical side, benefiting from the spherical section property, we will show that the sequence of the solutions of the approximating function converges to the minimum rank solution. On the experimental side, it will be shown that the proposed algorithm, termed SRF standing for Smoothed Rank Function, can recover matrices which are unique solutions of the rank minimization problem and yet not recoverable by nuclear norm minimization. Furthermore, it will be demonstrated that, in completing partially observed matrices, the accuracy of SRF is considerably and consistently better than some famous algorithms when the number of revealed entries is close to the minimum number of parameters that uniquely represent a low-rank matrix.

Full work available at URL: https://arxiv.org/abs/1308.2293

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (8)

• An alternating direction method with continuation for nonconvex low rank minimization
• Accelerated matrix completion algorithm using continuation strategy and randomized SVD
• Sparse recovery based on the generalized error function
• Matrix completion via minimizing an approximate rank
• A modified primal-dual method with applications to some sparse recovery problems
• Strictly contractive Peaceman-Rachford splitting method to recover the corrupted low rank matrix
• A penalty decomposition method for rank minimization problem with affine constraints
• A new nonconvex approach to low-rank matrix completion with application to image inpainting

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