A Non-Convex Relaxation for Fixed-Rank Approximation

10 Nov 2017  ·  Olsson Carl, Carlsson Marcus, Bylow Erik ·

This paper considers the problem of finding a low rank matrix from observations of linear combinations of its elements. It is well known that if the problem fulfills a restricted isometry property (RIP), convex relaxations using the nuclear norm typically work well and come with theoretical performance guarantees... On the other hand these formulations suffer from a shrinking bias that can severely degrade the solution in the presence of noise. In this theoretical paper we study an alternative non-convex relaxation that in contrast to the nuclear norm does not penalize the leading singular values and thereby avoids this bias. We show that despite its non-convexity the proposed formulation will in many cases have a single local minimizer if a RIP holds. Our numerical tests show that our approach typically converges to a better solution than nuclear norm based alternatives even in cases when the RIP does not hold. read more

PDF Abstract
No code implementations yet. Submit your code now

Categories


Optimization and Control