Guaranteed minimum-rank solutions of linear matrix equations via nuclear norm minimization

Guaranteed minimum-rank solutions of linear matrix equations via nuclear norm minimization (2007)

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by Benjamin Recht , Maryam Fazel , Pablo A. Parrilo

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Datum	Value	Source
TITLE	Guaranteed minimum-rank solutions of linear matrix equations via nuclear norm minimization	INFERENCE
AUTHOR NAME	Benjamin Recht	SVM HeaderParse 0.2
AUTHOR AFFIL	∗ Center for the Mathematics of Information, California Institute of Technology	SVM HeaderParse 0.2
AUTHOR NAME	Maryam Fazel	SVM HeaderParse 0.2
AUTHOR AFFIL	∗ Center for the Mathematics of Information, California Institute of Technology	SVM HeaderParse 0.2
AUTHOR NAME	Pablo A. Parrilo	SVM HeaderParse 0.2
AUTHOR AFFIL	∗ Center for the Mathematics of Information, California Institute of Technology	SVM HeaderParse 0.2
ABSTRACT	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 NP-hard, 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 pre-existing 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.	SVM HeaderParse 0.2
YEAR	2007	SVM HeaderParse 0.2
VENUE TYPE	TECHREPORT	INFERENCE
TECH	Technical Report arXiv:0706.4138v1, arXiv	INFERENCE
CITATIONS	56 found	ParsCit 1.0