A Gradient Descent Algorithm on the Grassman Manifold for Matrix Completion

We consider the problem of reconstructing a low-rank matrix from a small subset of its entries. In this paper, we describe the implementation of an efficient algorithm called OptSpace, based on singular value decomposition followed by local manifold optimization, for solving the low-rank matrix completion problem. It has been shown that if the number of revealed entries is large enough, the output of singular value decomposition gives a good estimate for the original matrix, so that local optimization reconstructs the correct matrix with high probability. We present numerical results which show that this algorithm can reconstruct the low rank matrix exactly from a very small subset of its entries. We further study the robustness of the algorithm with respect to noise, and its performance on actual collaborative filtering datasets.Comment: 26 pages, 15 figure

Shape Interaction Matrix Revisited and Robustified: Efficient Subspace Clustering with Corrupted and Incomplete Data

The Shape Interaction Matrix (SIM) is one of the earliest approaches to performing subspace clustering (i.e., separating points drawn from a union of subspaces). In this paper, we revisit the SIM and reveal its connections to several recent subspace clustering methods. Our analysis lets us derive a simple, yet effective algorithm to robustify the SIM and make it applicable to realistic scenarios where the data is corrupted by noise. We justify our method by intuitive examples and the matrix perturbation theory. We then show how this approach can be extended to handle missing data, thus yielding an efficient and general subspace clustering algorithm. We demonstrate the benefits of our approach over state-of-the-art subspace clustering methods on several challenging motion segmentation and face clustering problems, where the data includes corrupted and missing measurements.Comment: This is an extended version of our iccv15 pape

Ad Hoc Microphone Array Calibration: Euclidean Distance Matrix Completion Algorithm and Theoretical Guarantees

This paper addresses the problem of ad hoc microphone array calibration where only partial information about the distances between microphones is available. We construct a matrix consisting of the pairwise distances and propose to estimate the missing entries based on a novel Euclidean distance matrix completion algorithm by alternative low-rank matrix completion and projection onto the Euclidean distance space. This approach confines the recovered matrix to the EDM cone at each iteration of the matrix completion algorithm. The theoretical guarantees of the calibration performance are obtained considering the random and locally structured missing entries as well as the measurement noise on the known distances. This study elucidates the links between the calibration error and the number of microphones along with the noise level and the ratio of missing distances. Thorough experiments on real data recordings and simulated setups are conducted to demonstrate these theoretical insights. A significant improvement is achieved by the proposed Euclidean distance matrix completion algorithm over the state-of-the-art techniques for ad hoc microphone array calibration.Comment: In Press, available online, August 1, 2014. http://www.sciencedirect.com/science/article/pii/S0165168414003508, Signal Processing, 201

ManifoldOptim: An R Interface to the ROPTLIB Library for Riemannian Manifold Optimization

Manifold optimization appears in a wide variety of computational problems in the applied sciences. In recent statistical methodologies such as sufficient dimension reduction and regression envelopes, estimation relies on the optimization of likelihood functions over spaces of matrices such as the Stiefel or Grassmann manifolds. Recently, Huang, Absil, Gallivan, and Hand (2016) have introduced the library ROPTLIB, which provides a framework and state of the art algorithms to optimize real-valued objective functions over commonly used matrix-valued Riemannian manifolds. This article presents ManifoldOptim, an R package that wraps the C++ library ROPTLIB. ManifoldOptim enables users to access functionality in ROPTLIB through R so that optimization problems can easily be constructed, solved, and integrated into larger R codes. Computationally intensive problems can be programmed with Rcpp and RcppArmadillo, and otherwise accessed through R. We illustrate the practical use of ManifoldOptim through several motivating examples involving dimension reduction and envelope methods in regression

Comparing sets of data sets on the Grassmann and flag manifolds with applications to data analysis in high and low dimensions

Includes bibliographical references.2020 Summer.This dissertation develops numerical algorithms for comparing sets of data sets utilizing shape and orientation of data clouds. Two key components for "comparing" are the distance measure between data sets and correspondingly the geodesic path in between. Both components will play a core role which connects two parts of this dissertation, namely data analysis on the Grassmann manifold and flag manifold. For the first part, we build on the well known geometric framework for analyzing and optimizing over data on the Grassmann manifold. To be specific, we extend the classical self-organizing mappings to the Grassamann manifold to visualize sets of high dimensional data sets in 2D space. We also propose an optimization problem on the Grassmannian to recover missing data. In the second part, we extend the geometric framework to the flag manifold to encode the variability of nested subspaces. There we propose a numerical algorithm for computing a geodesic path and distance between nested subspaces. We also prove theorems to show how to reduce the dimension of the algorithm for practical computations. The approach is shown to have advantages for analyzing data when the number of data points is larger than the number of features