Max-norm optimization for robust matrix recovery
type: Item
instance of: scholarly article
title: Max-norm optimization for robust matrix recovery
zbMATH Open document ID: 1414.90265
author: Ethan X. Fang
author: Han Liu
author: Kim-Chuan Toh
author: Wen-Xin Zhou
published in: Mathematical Programming. Series A. Series B
publication date: 2018-02-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1609.07664
full work available at URL: 3d55f4zq
review text: In order to recover an unknown matrix $M^0 \in \mathbb{R}^{d_1 \times d_2}$ based on some of its entries observed with noise, $\{Y_{i_t,j_t}\}_{t=1}^n$, the authors propose a hybrid estimator defined as the solution of the optimization problem \[ \begin{cases} \text{Minimize }\frac{1}{n} \sum_{t=1}^n (Y_{i_t,j_t} - M_{i_t,j_t})^2 +\lambda \|M\|_{\max} + \mu \|M\|_*, \\ \text{subject to } M \in \mathbb{R}^{d_1 \times d_2},\; \|M\|_\infty \leq \alpha, \end{cases} \] where $\|M\|_{\max}$, $\|M\|_*$ and $\|M\|_\infty$ denote the max-norm, the nuclear norm and the elementwise $\infty$-norm of $M$, respectively, while $\lambda >0$ and $\mu \geq 0$ are tuning parameters. Efficient algorithms are provided along with numerical experiments on different datasets.
reviewed by: Nicolae Popovici
Mathematics Subject Classification ID: 90C25
Mathematics Subject Classification ID: 90C29
Mathematics Subject Classification ID: 15A60
zbMATH DE Number: 6837216
describes a project that uses: ADMM_QAP
describes a project that uses: GADMM
describes a project that uses: SNLSDP
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2964316995
arXiv ID: 1609.07664
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DOI: 10.1007/S10107-017-1159-Y
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description: scientific article