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38
Exact Matrix Completion via Convex Optimization
, 2008
"... We consider a problem of considerable practical interest: the recovery of a data matrix from a sampling of its entries. Suppose that we observe m entries selected uniformly at random from a matrix M. Can we complete the matrix and recover the entries that we have not seen? We show that one can perfe ..."
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Cited by 320 (19 self)
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We consider a problem of considerable practical interest: the recovery of a data matrix from a sampling of its entries. Suppose that we observe m entries selected uniformly at random from a matrix M. Can we complete the matrix and recover the entries that we have not seen? We show that one can perfectly recover most lowrank matrices from what appears to be an incomplete set of entries. We prove that if the number m of sampled entries obeys m ≥ C n 1.2 r log n for some positive numerical constant C, then with very high probability, most n × n matrices of rank r can be perfectly recovered by solving a simple convex optimization program. This program finds the matrix with minimum nuclear norm that fits the data. The condition above assumes that the rank is not too large. However, if one replaces the 1.2 exponent with 1.25, then the result holds for all values of the rank. Similar results hold for arbitrary rectangular matrices as well. Our results are connected with the recent literature on compressed sensing, and show that objects other than signals and images can be perfectly reconstructed from very limited information.
Guaranteed minimumrank solutions of linear matrix equations via nuclear norm minimization
, 2007
"... The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative ..."
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Cited by 218 (15 self)
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The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative filtering. Although specific instances can often be solved with specialized algorithms, the general affine rank minimization problem is NPhard, because it contains vector cardinality minimization as a special case. In this paper, we show that if a certain restricted isometry property holds for the linear transformation defining the constraints, the minimum rank solution can be recovered by solving a convex optimization problem, namely the minimization of the nuclear norm over the given affine space. We present several random ensembles of equations where the restricted isometry property holds with overwhelming probability, provided the codimension of the subspace is sufficiently large. The techniques used in our analysis have strong parallels in the compressed sensing framework. We discuss how affine rank minimization generalizes this preexisting concept and outline a dictionary relating concepts from cardinality minimization to those of rank minimization. We also discuss several algorithmic approaches to solving the norm minimization relaxations, and illustrate our results with numerical examples.
A Singular Value Thresholding Algorithm for Matrix Completion
, 2008
"... This paper introduces a novel algorithm to approximate the matrix with minimum nuclear norm among all matrices obeying a set of convex constraints. This problem may be understood as the convex relaxation of a rank minimization problem, and arises in many important applications as in the task of reco ..."
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Cited by 192 (12 self)
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This paper introduces a novel algorithm to approximate the matrix with minimum nuclear norm among all matrices obeying a set of convex constraints. This problem may be understood as the convex relaxation of a rank minimization problem, and arises in many important applications as in the task of recovering a large matrix from a small subset of its entries (the famous Netflix problem). Offtheshelf algorithms such as interior point methods are not directly amenable to large problems of this kind with over a million unknown entries. This paper develops a simple firstorder and easytoimplement algorithm that is extremely efficient at addressing problems in which the optimal solution has low rank. The algorithm is iterative and produces a sequence of matrices {X k, Y k} and at each step, mainly performs a softthresholding operation on the singular values of the matrix Y k. There are two remarkable features making this attractive for lowrank matrix completion problems. The first is that the softthresholding operation is applied to a sparse matrix; the second is that the rank of the iterates {X k} is empirically nondecreasing. Both these facts allow the algorithm to make use of very minimal storage space and keep the computational cost of each iteration low. On
Structured Semidefinite Programs and Semialgebraic Geometry Methods in Robustness and Optimization
, 2000
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The Power of Convex Relaxation: NearOptimal Matrix Completion
, 2009
"... This paper is concerned with the problem of recovering an unknown matrix from a small fraction of its entries. This is known as the matrix completion problem, and comes up in a great number of applications, including the famous Netflix Prize and other similar questions in collaborative filtering. In ..."
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Cited by 131 (5 self)
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This paper is concerned with the problem of recovering an unknown matrix from a small fraction of its entries. This is known as the matrix completion problem, and comes up in a great number of applications, including the famous Netflix Prize and other similar questions in collaborative filtering. In general, accurate recovery of a matrix from a small number of entries is impossible; but the knowledge that the unknown matrix has low rank radically changes this premise, making the search for solutions meaningful. This paper presents optimality results quantifying the minimum number of entries needed to recover a matrix of rank r exactly by any method whatsoever (the information theoretic limit). More importantly, the paper shows that, under certain incoherence assumptions on the singular vectors of the matrix, recovery is possible by solving a convenient convex program as soon as the number of entries is on the order of the information theoretic limit (up to logarithmic factors). This convex program simply finds, among all matrices consistent with the observed entries, that with minimum nuclear norm. As an example, we show that on the order of nr log(n) samples are needed to recover a random n × n matrix of rank r by any method, and to be sure, nuclear norm minimization succeeds as soon as the number of entries is of the form nrpolylog(n).
Ranksparsity incoherence for matrix decomposition
, 2009
"... Abstract. Suppose we are given a matrix that is formed by adding an unknown sparse matrix to an unknown lowrank matrix. Our goal is to decompose the given matrix into its sparse and lowrank components. Such a problem arises in a number of applications in model and system identification, and is int ..."
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Cited by 81 (10 self)
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Abstract. Suppose we are given a matrix that is formed by adding an unknown sparse matrix to an unknown lowrank matrix. Our goal is to decompose the given matrix into its sparse and lowrank components. Such a problem arises in a number of applications in model and system identification, and is intractable to solve in general. In this paper we consider a convex optimization formulation to splitting the specified matrix into its components, by minimizing a linear combination of the ℓ1 norm and the nuclear norm of the components. We develop a notion of ranksparsity incoherence, expressed as an uncertainty principle between the sparsity pattern of a matrix and its row and column spaces, and use it to characterize both fundamental identifiability as well as (deterministic) sufficient conditions for exact recovery. Our analysis is geometric in nature with the tangent spaces to the algebraic varieties of sparse and lowrank matrices playing a prominent role. When the sparse and lowrank matrices are drawn from certain natural random ensembles, we show that the sufficient conditions for exact recovery are satisfied with high probability. We conclude with simulation results on synthetic matrix decomposition problems.
Matrix Completion with Noise
"... On the heels of compressed sensing, a remarkable new field has very recently emerged. This field addresses a broad range of problems of significant practical interest, namely, the recovery of a data matrix from what appears to be incomplete, and perhaps even corrupted, information. In its simplest ..."
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Cited by 74 (4 self)
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On the heels of compressed sensing, a remarkable new field has very recently emerged. This field addresses a broad range of problems of significant practical interest, namely, the recovery of a data matrix from what appears to be incomplete, and perhaps even corrupted, information. In its simplest form, the problem is to recover a matrix from a small sample of its entries, and comes up in many areas of science and engineering including collaborative filtering, machine learning, control, remote sensing, and computer vision to name a few. This paper surveys the novel literature on matrix completion, which shows that under some suitable conditions, one can recover an unknown lowrank matrix from a nearly minimal set of entries by solving a simple convex optimization problem, namely, nuclearnorm minimization subject to data constraints. Further, this paper introduces novel results showing that matrix completion is provably accurate even when the few observed entries are corrupted with a small amount of noise. A typical result is that one can recover an unknown n × n matrix of low rank r from just about nr log 2 n noisy samples with an error which is proportional to the noise level. We present numerical results which complement our quantitative analysis and show that, in practice, nuclear norm minimization accurately fills in the many missing entries of large lowrank matrices from just a few noisy samples. Some analogies between matrix completion and compressed sensing are discussed throughout.
An accelerated proximal gradient algorithm for nuclear norm regularized least squares problems
, 2009
"... ..."
A simpler approach to matrix completion
 the Journal of Machine Learning Research
"... This paper provides the best bounds to date on the number of randomly sampled entries required to reconstruct an unknown low rank matrix. These results improve on prior work by Candès and Recht [4], Candès and Tao [7], and Keshavan, Montanari, and Oh [18]. The reconstruction is accomplished by minim ..."
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Cited by 58 (3 self)
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This paper provides the best bounds to date on the number of randomly sampled entries required to reconstruct an unknown low rank matrix. These results improve on prior work by Candès and Recht [4], Candès and Tao [7], and Keshavan, Montanari, and Oh [18]. The reconstruction is accomplished by minimizing the nuclear norm, or sum of the singular values, of the hidden matrix subject to agreement with the provided entries. If the underlying matrix satisfies a certain incoherence condition, then the number of entries required is equal to a quadratic logarithmic factor times the number of parameters in the singular value decomposition. The proof of this assertion is short, self contained, and uses very elementary analysis. The novel techniques herein are based on recent work in quantum information theory.
Lowauthority controller design via convex optimization
 AIAA Journal of Guidance, Control, and Dynamics
, 1999
"... In this paper we address the problem of lowauthority controller (LAC) design. The premise is that the actuators have limited authority, and hence cannot significantly shift the eigenvalues of the system. As a result, the closedloop eigenvalues can be well approximated analytically using perturbati ..."
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Cited by 30 (14 self)
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In this paper we address the problem of lowauthority controller (LAC) design. The premise is that the actuators have limited authority, and hence cannot significantly shift the eigenvalues of the system. As a result, the closedloop eigenvalues can be well approximated analytically using perturbation theory. These analytical approximations may suffice to predict the behavior of the closedloop system in practical cases, and will provide at least a very strong rationale for the first step in the design iteration loop. We will show that LAC design can be cast as convex optimization problems that can be solved efficiently in practice using interiorpoint methods. Also, we will show that by optimizing the ℓ1 norm of the feedback gains, we can arrive at sparse designs, i.e., designs in which only a small number of the control gains are nonzero. Thus, in effect, we can also solve actuator/sensor placement or controller architecture design problems. Keywords: Lowauthority control, actuator/sensor placement, linear operator perturbation theory, convex optimization, secondorder cone programming, semidefinite programming, linear matrix inequality. 1