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Register a new userIterative Concave Rank Approximation for Recovering Low-Rank Matrices
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Added by
Mohammadreza Malek-Mohammadi
Publication date
2015
fields
Informatics Engineering
and research's language is
English
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In this paper, we propose a new algorithm for recovery of low-rank matrices from compressed linear measurements. The underlying idea of this algorithm is to closely approximate the rank function with a smooth function of singular values, and then minimize the resulting approximation subject to the linear constraints. The accuracy of the approximation is controlled via a scaling parameter $delta$, where a smaller $delta$ corresponds to a more accurate fitting. The consequent optimization problem for any finite $delta$ is nonconvex. Therefore, in order to decrease the risk of ending up in local minima, a series of optimizations is performed, starting with optimizing a rough approximation (a large $delta$) and followed by successively optimizing finer approximations of the rank with smaller $delta$s. To solve the optimization problem for any $delta > 0$, it is converted to a new program in which the cost is a function of two auxiliary positive semidefinete variables. The paper shows that this new program is concave and applies a majorize-minimize technique to solve it which, in turn, leads to a few convex optimization iterations. This optimization scheme is also equivalent to a reweighted Nuclear Norm Minimization (NNM), where weighting update depends on the used approximating function. For any $delta > 0$, we derive a necessary and sufficient condition for the exact recovery which are weaker than those corresponding to NNM. On the numerical side, the proposed algorithm is compared to NNM and a reweighted NNM in solving affine rank minimization and matrix completion problems showing its considerable and consistent superiority in terms of success rate, especially, when the number of measurements decreases toward the lower-bound for the unique representation.
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In this paper, the problem of matrix rank minimization under affine constraints is addressed. The state-of-the-art algorithms can recover matrices with a rank much less than what is sufficient for the uniqueness of the solution of this optimization problem. We propose an algorithm based on a smooth approximation of the rank function, which practically improves recovery limits on the rank of the solution. This approximation leads to a non-convex program; thus, to avoid getting trapped in local solutions, we use the following scheme. Initially, a rough approximation of the rank function subject to the affine constraints is optimized. As the algorithm proceeds, finer approximations of the rank are optimized and the solver is initialized with the solution of the previous approximation until reaching the desired accuracy. On the theoretical side, benefiting from the spherical section property, we will show that the sequence of the solutions of the approximating function converges to the minimum rank solution. On the experimental side, it will be shown that the proposed algorithm, termed SRF standing for Smoothed Rank Function, can recover matrices which are unique solutions of the rank minimization problem and yet not recoverable by nuclear norm minimization. Furthermore, it will be demonstrated that, in completing partially observed matrices, the accuracy of SRF is considerably and consistently better than some famous algorithms when the number of revealed entries is close to the minimum number of parameters that uniquely represent a low-rank matrix.
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