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24
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 335 (21 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.
Compressive Sensing and Structured Random Matrices
 RADON SERIES COMP. APPL. MATH XX, 1–95 © DE GRUYTER 20YY
"... These notes give a mathematical introduction to compressive sensing focusing on recovery using ℓ1minimization and structured random matrices. An emphasis is put on techniques for proving probabilistic estimates for condition numbers of structured random matrices. Estimates of this type are key to ..."
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Cited by 63 (13 self)
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These notes give a mathematical introduction to compressive sensing focusing on recovery using ℓ1minimization and structured random matrices. An emphasis is put on techniques for proving probabilistic estimates for condition numbers of structured random matrices. Estimates of this type are key to providing conditions that ensure exact or approximate recovery of sparse vectors using ℓ1minimization.
On the conditioning of random subdictionaries
 Appl. Comput. Harmonic Anal
"... Abstract. An important problem in the theory of sparse approximation is to identify wellconditioned subsets of vectors from a general dictionary. In most cases, current results do not apply unless the number of vectors is smaller than the square root of the ambient dimension, so these bounds are too ..."
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Cited by 49 (5 self)
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Abstract. An important problem in the theory of sparse approximation is to identify wellconditioned subsets of vectors from a general dictionary. In most cases, current results do not apply unless the number of vectors is smaller than the square root of the ambient dimension, so these bounds are too weak for many applications. This paper shatters the squareroot bottleneck by focusing on random subdictionaries instead of arbitrary subdictionaries. It provides explicit bounds on the extreme singular values of random subdictionaries that hold with overwhelming probability. The results are phrased in terms of the coherence and spectral norm of the dictionary, which capture information about its global geometry. The proofs rely on standard tools from the area of Banach space probability. As an application, the paper shows that the conditioning of a subdictionary is the major obstacle to the uniqueness of sparse representations and the success of ℓ1 minimization techniques for signal recovery. Indeed, if a fixed subdictionary is well conditioned and its cardinality is slightly smaller than the ambient dimension, then a random signal formed from this subdictionary almost surely has no other representation that is equally sparse. Moreover, with overwhelming probability, the maximally sparse representation can be identified via ℓ1 minimization. Note that the results in this paper are not directly comparable with recent work on subdictionaries of random dictionaries. 1.
Circulant and Toeplitz Matrices in Compressed Sensing
"... Compressed sensing seeks to recover a sparse vector from a small number of linear and nonadaptive measurements. While most work so far focuses on Gaussian or Bernoulli random measurements we investigate the use of partial random circulant and Toeplitz matrices in connection with recovery by ℓ1mini ..."
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Cited by 33 (9 self)
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Compressed sensing seeks to recover a sparse vector from a small number of linear and nonadaptive measurements. While most work so far focuses on Gaussian or Bernoulli random measurements we investigate the use of partial random circulant and Toeplitz matrices in connection with recovery by ℓ1minization. In contrast to recent work in this direction we allow the use of an arbitrary subset of rows of a circulant and Toeplitz matrix. Our recovery result predicts that the necessary number of measurements to ensure sparse reconstruction by ℓ1minimization with random partial circulant or Toeplitz matrices scales linearly in the sparsity up to a logfactor in the ambient dimension. This represents a significant improvement over previous recovery results for such matrices. As a main tool for the proofs we use a new version of the noncommutative Khintchine inequality.
FINDING STRUCTURE WITH RANDOMNESS: STOCHASTIC ALGORITHMS FOR CONSTRUCTING APPROXIMATE MATRIX DECOMPOSITIONS
, 2009
"... Lowrank matrix approximations, such as the truncated singular value decomposition and the rankrevealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys recent research which demonstrates that randomization offers a powerful tool for performing l ..."
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Cited by 28 (2 self)
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Lowrank matrix approximations, such as the truncated singular value decomposition and the rankrevealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys recent research which demonstrates that randomization offers a powerful tool for performing lowrank matrix approximation. These techniques exploit modern computational architectures more fully than classical methods and open the possibility of dealing with truly massive data sets. In particular, these techniques offer a route toward principal component analysis (PCA) for petascale data. This paper presents a modular framework for constructing randomized algorithms that compute partial matrix decompositions. These methods use random sampling to identify a subspace that captures most of the action of a matrix. The input matrix is then compressed—either explicitly or implicitly—to this subspace, and the reduced matrix is manipulated deterministically to obtain the desired lowrank factorization. In many cases, this approach beats its classical competitors in terms of accuracy, speed, and robustness. These claims are supported by extensive numerical experiments and a detailed error analysis. The specific benefits of randomized techniques depend on the computational environment. Consider
Restricted isometries for partial random circulant matrices
 Appl. Comput. Harmon. Anal
"... In the theory of compressed sensing, restricted isometry analysis has become a standard tool for studying how efficiently a measurement matrix acquires information about sparse and compressible signals. Many recovery algorithms are known to succeed when the restricted isometry constants of the sampl ..."
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Cited by 20 (5 self)
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In the theory of compressed sensing, restricted isometry analysis has become a standard tool for studying how efficiently a measurement matrix acquires information about sparse and compressible signals. Many recovery algorithms are known to succeed when the restricted isometry constants of the sampling matrix are small. Many potential applications of compressed sensing involve a dataacquisition process that proceeds by convolution with a random pulse followed by (nonrandom) subsampling. At present, the theoretical analysis of this measurement technique is lacking. This paper demonstrates that the sth order restricted isometry constant is small when the number m of samples satisfies m � (s log n) 3/2, where n is the length of the pulse. This bound improves on previous estimates, which exhibit quadratic scaling. 1
A Fast and Efficient Algorithm for Lowrank Approximation of a Matrix
"... The lowrank matrix approximation problem involves finding of a rank k version of a m × n matrix A, labeled Ak, such that Ak is as ”close ” as possible to the best SVD approximation version of A at the same rank level. Previous approaches approximate matrix A by nonuniformly adaptive sampling some ..."
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Cited by 18 (1 self)
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The lowrank matrix approximation problem involves finding of a rank k version of a m × n matrix A, labeled Ak, such that Ak is as ”close ” as possible to the best SVD approximation version of A at the same rank level. Previous approaches approximate matrix A by nonuniformly adaptive sampling some columns (or rows) of A, hoping that this subset of columns contain enough information about A. The submatrix is then used for the approximation process. However, these approaches are often computationally intensive due to the complexity in the adaptive sampling. In this paper, we propose a fast and efficient algorithm which at first preprocesses matrix A in order to spread out information (energy) of every columns (or rows) of A, then randomly selects some of its columns (or rows). Finally, a rankk approximation is generated from the row space of these selected sets. The preprocessing step is performed by uniformly randomizing signs of entries of A and transforming all columns of A by an orthonormal matrix F with existing fast implementation (e.g. Hadamard, FFT, DCT...). Our main contribution is summarized as follows. 1) We show that by uniformly selecting at random d rows of the preprocessed matrix with d = O 1
The Random Paving Property for Uniformly Bounded Matrices
 Studia Mathematica
"... Abstract. This note presents a new proof of an important result due to Bourgain and Tzafriri that provides a partial solution to the Kadison–Singer problem. The result shows that every unitnorm matrix whose entries are relatively small in comparison with its dimension can be paved by a partition of ..."
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Cited by 12 (2 self)
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Abstract. This note presents a new proof of an important result due to Bourgain and Tzafriri that provides a partial solution to the Kadison–Singer problem. The result shows that every unitnorm matrix whose entries are relatively small in comparison with its dimension can be paved by a partition of constant size. That is, the coordinates can be partitioned into a constant number of blocks so that the restriction of the matrix to each block of coordinates has norm less than one half. The original proof of Bourgain and Tzafriri involves a long, delicate calculation. The new proof relies on the systematic use of symmetrization and Khintchine inequalities to estimate the norm of some random matrices. 1.
IMPROVED ANALYSIS OF THE SUBSAMPLED RANDOMIZED HADAMARD TRANSFORM
"... Abstract. This paper presents an improved analysis of a structured dimensionreduction map called the subsampled randomized Hadamard transform. This argument demonstrates that the map preserves the Euclidean geometry of an entire subspace of vectors. The new proof is much simpler than previous appro ..."
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Cited by 12 (0 self)
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Abstract. This paper presents an improved analysis of a structured dimensionreduction map called the subsampled randomized Hadamard transform. This argument demonstrates that the map preserves the Euclidean geometry of an entire subspace of vectors. The new proof is much simpler than previous approaches, and it offers—for the first time—optimal constants in the estimate on the number of dimensions required for the embedding. 1.