Nonconvex Nonsmooth Low-Rank Minimization via Iteratively Reweighted Nuclear Norm

The nuclear norm is widely used as a convex surrogate of the rank function in compressive sensing for low rank matrix recovery with its applications in image recovery and signal processing. However, solving the nuclear norm based relaxed convex problem usually leads to a suboptimal solution of the original rank minimization problem. In this paper, we propose to perform a family of nonconvex surrogates of $L_0$-norm on the singular values of a matrix to approximate the rank function. This leads to a nonconvex nonsmooth minimization problem. Then we propose to solve the problem by Iteratively Reweighted Nuclear Norm (IRNN) algorithm. IRNN iteratively solves a Weighted Singular Value Thresholding (WSVT) problem, which has a closed form solution due to the special properties of the nonconvex surrogate functions. We also extend IRNN to solve the nonconvex problem with two or more blocks of variables. In theory, we prove that IRNN decreases the objective function value monotonically, and any limit point is a stationary point. Extensive experiments on both synthesized data and real images demonstrate that IRNN enhances the low-rank matrix recovery compared with state-of-the-art convex algorithms

Generalized Nonconvex Nonsmooth Low-Rank Minimization

As surrogate functions of $L_0$-norm, many nonconvex penalty functions have been proposed to enhance the sparse vector recovery. It is easy to extend these nonconvex penalty functions on singular values of a matrix to enhance low-rank matrix recovery. However, different from convex optimization, solving the nonconvex low-rank minimization problem is much more challenging than the nonconvex sparse minimization problem. We observe that all the existing nonconvex penalty functions are concave and monotonically increasing on $[0,\infty)$. Thus their gradients are decreasing functions. Based on this property, we propose an Iteratively Reweighted Nuclear Norm (IRNN) algorithm to solve the nonconvex nonsmooth low-rank minimization problem. IRNN iteratively solves a Weighted Singular Value Thresholding (WSVT) problem. By setting the weight vector as the gradient of the concave penalty function, the WSVT problem has a closed form solution. In theory, we prove that IRNN decreases the objective function value monotonically, and any limit point is a stationary point. Extensive experiments on both synthetic data and real images demonstrate that IRNN enhances the low-rank matrix recovery compared with state-of-the-art convex algorithms.Comment: IEEE International Conference on Computer Vision and Pattern Recognition, 201

A Splitting Augmented Lagrangian Method for Low Multilinear-Rank Tensor Recovery

This paper studies a recovery task of finding a low multilinear-rank tensor that fulfills some linear constraints in the general settings, which has many applications in computer vision and graphics. This problem is named as the low multilinear-rank tensor recovery problem. The variable splitting technique and convex relaxation technique are used to transform this problem into a tractable constrained optimization problem. Considering the favorable structure of the problem, we develop a splitting augmented Lagrangian method to solve the resulting problem. The proposed algorithm is easily implemented and its convergence can be proved under some conditions. Some preliminary numerical results on randomly generated and real completion problems show that the proposed algorithm is very effective and robust for tackling the low multilinear-rank tensor completion problem