Exact Matrix Completion via Convex Optimization

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 low-rank 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 by 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

On Low-rank Trace Regression under General Sampling Distribution

A growing number of modern statistical learning problems involve estimating a large number of parameters from a (smaller) number of noisy observations. In a subset of these problems (matrix completion, matrix compressed sensing, and multi-task learning) the unknown parameters form a high-dimensional matrix B*, and two popular approaches for the estimation are convex relaxation of rank-penalized regression or non-convex optimization. It is also known that these estimators satisfy near optimal error bounds under assumptions on rank, coherence, or spikiness of the unknown matrix. In this paper, we introduce a unifying technique for analyzing all of these problems via both estimators that leads to short proofs for the existing results as well as new results. Specifically, first we introduce a general notion of spikiness for B* and consider a general family of estimators and prove non-asymptotic error bounds for the their estimation error. Our approach relies on a generic recipe to prove restricted strong convexity for the sampling operator of the trace regression. Second, and most notably, we prove similar error bounds when the regularization parameter is chosen via K-fold cross-validation. This result is significant in that existing theory on cross-validated estimators do not apply to our setting since our estimators are not known to satisfy their required notion of stability. Third, we study applications of our general results to four subproblems of (1) matrix completion, (2) multi-task learning, (3) compressed sensing with Gaussian ensembles, and (4) compressed sensing with factored measurements. For (1), (3), and (4) we recover matching error bounds as those found in the literature, and for (2) we obtain (to the best of our knowledge) the first such error bound. We also demonstrate how our frameworks applies to the exact recovery problem in (3) and (4).Comment: 32 pages, 1 figur

Matrix Completion via Max-Norm Constrained Optimization

Matrix completion has been well studied under the uniform sampling model and the trace-norm regularized methods perform well both theoretically and numerically in such a setting. However, the uniform sampling model is unrealistic for a range of applications and the standard trace-norm relaxation can behave very poorly when the underlying sampling scheme is non-uniform. In this paper we propose and analyze a max-norm constrained empirical risk minimization method for noisy matrix completion under a general sampling model. The optimal rate of convergence is established under the Frobenius norm loss in the context of approximately low-rank matrix reconstruction. It is shown that the max-norm constrained method is minimax rate-optimal and yields a unified and robust approximate recovery guarantee, with respect to the sampling distributions. The computational effectiveness of this method is also discussed, based on first-order algorithms for solving convex optimizations involving max-norm regularization.Comment: 33 page

Conic Optimization Theory: Convexification Techniques and Numerical Algorithms

Optimization is at the core of control theory and appears in several areas of this field, such as optimal control, distributed control, system identification, robust control, state estimation, model predictive control and dynamic programming. The recent advances in various topics of modern optimization have also been revamping the area of machine learning. Motivated by the crucial role of optimization theory in the design, analysis, control and operation of real-world systems, this tutorial paper offers a detailed overview of some major advances in this area, namely conic optimization and its emerging applications. First, we discuss the importance of conic optimization in different areas. Then, we explain seminal results on the design of hierarchies of convex relaxations for a wide range of nonconvex problems. Finally, we study different numerical algorithms for large-scale conic optimization problems.Comment: 18 page