Low-Rank Positive Semidefinite Matrix Recovery From Corrupted Rank-One Measurements

DOI10.1109/TSP.2016.2620109zbMATH Open1414.94385arXiv1602.02737OpenAlexW2511406830MaRDI QIDQ4620545FDOQ4620545

Authors: Yuan-Xin Li, Yue Sun, Yuejie Chi 

Publication date: 8 February 2019

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

Abstract: We study the problem of estimating a low-rank positive semidefinite (PSD) matrix from a set of rank-one measurements using sensing vectors composed of i.i.d. standard Gaussian entries, which are possibly corrupted by arbitrary outliers. This problem arises from applications such as phase retrieval, covariance sketching, quantum space tomography, and power spectrum estimation. We first propose a convex optimization algorithm that seeks the PSD matrix with the minimum $el{l}_1$-norm of the observation residual. The advantage of our algorithm is that it is free of parameters, therefore eliminating the need for tuning parameters and allowing easy implementations. We establish that with high probability, a low-rank PSD matrix can be exactly recovered as soon as the number of measurements is large enough, even when a fraction of the measurements are corrupted by outliers with arbitrary magnitudes. Moreover, the recovery is also stable against bounded noise. With the additional information of an upper bound of the rank of the PSD matrix, we propose another non-convex algorithm based on subgradient descent that demonstrates excellent empirical performance in terms of computational efficiency and accuracy.

Full work available at URL: https://arxiv.org/abs/1602.02737

Mathematics Subject Classification ID

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

Cited In (8)

• Matrix recovery from nonconvex regularized least absolute deviations
• Optimizing shrinkage curves and application in image denoising
• Low-rank matrix recovery with composite optimization: good conditioning and rapid convergence
• \(L^p\) continuity and microlocal properties for pseudodifferential operators
• Low rank matrix recovery with adversarial sparse noise
• Low rank matrix recovery from rank one measurements
• Nonconvex Robust Low-Rank Matrix Recovery
• Median-truncated gradient descent: a robust and scalable nonconvex approach for signal estimation

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