The Augmented Lagrange Multiplier Method for Exact Recovery of Corrupted Low-Rank Matrices

This paper proposes scalable and fast algorithms for solving the Robust PCA problem, namely recovering a low-rank matrix with an unknown fraction of its entries being arbitrarily corrupted. This problem arises in many applications, such as image processing, web data ranking, and bioinformatic data analysis. It was recently shown that under surprisingly broad conditions, the Robust PCA problem can be exactly solved via convex optimization that minimizes a combination of the nuclear norm and the $\ell^1$-norm . In this paper, we apply the method of augmented Lagrange multipliers (ALM) to solve this convex program. As the objective function is non-smooth, we show how to extend the classical analysis of ALM to such new objective functions and prove the optimality of the proposed algorithms and characterize their convergence rate. Empirically, the proposed new algorithms can be more than five times faster than the previous state-of-the-art algorithms for Robust PCA, such as the accelerated proximal gradient (APG) algorithm. Moreover, the new algorithms achieve higher precision, yet being less storage/memory demanding. We also show that the ALM technique can be used to solve the (related but somewhat simpler) matrix completion problem and obtain rather promising results too. We further prove the necessary and sufficient condition for the inexact ALM to converge globally. Matlab code of all algorithms discussed are available at http://perception.csl.illinois.edu/matrix-rank/home.htmlComment: Please cite "Zhouchen Lin, Risheng Liu, and Zhixun Su, Linearized Alternating Direction Method with Adaptive Penalty for Low Rank Representation, NIPS 2011." (available at arXiv:1109.0367) instead for a more general method called Linearized Alternating Direction Method This manuscript first appeared as University of Illinois at Urbana-Champaign technical report #UILU-ENG-09-2215 in October 2009 Zhouchen Lin, Risheng Liu, and Zhixun Su, Linearized Alternating Direction Method with Adaptive Penalty for Low Rank Representation, NIPS 2011. (available at http://arxiv.org/abs/1109.0367

Faster Linear Algebra for Distance Matrices

The distance matrix of a dataset $X$ of $n$ points with respect to a distance function $f$ represents all pairwise distances between points in $X$ induced by $f$. Due to their wide applicability, distance matrices and related families of matrices have been the focus of many recent algorithmic works. We continue this line of research and take a broad view of algorithm design for distance matrices with the goal of designing fast algorithms, which are specifically tailored for distance matrices, for fundamental linear algebraic primitives. Our results include efficient algorithms for computing matrix-vector products for a wide class of distance matrices, such as the $\ell_1$ metric for which we get a linear runtime, as well as an $\Omega(n^2)$ lower bound for any algorithm which computes a matrix-vector product for the $\ell_{\infty}$ case, showing a separation between the $\ell_1$ and the $\ell_{\infty}$ metrics. Our upper bound results, in conjunction with recent works on the matrix-vector query model, have many further downstream applications, including the fastest algorithm for computing a relative error low-rank approximation for the distance matrix induced by $\ell_1$ and $\ell_2^2$ functions and the fastest algorithm for computing an additive error low-rank approximation for the $\ell_2$ metric, in addition to applications for fast matrix multiplication among others. We also give algorithms for constructing distance matrices and show that one can construct an approximate $\ell_2$ distance matrix in time faster than the bound implied by the Johnson-Lindenstrauss lemma.Comment: Selected as Oral for NeurIPS 202

Row Compression and Nested Product Decomposition of a Hierarchical Representation of a Quasiseparable Matrix

This research introduces a row compression and nested product decomposition of an nxn hierarchical representation of a rank structured matrix A, which extends the compression and nested product decomposition of a quasiseparable matrix. The hierarchical parameter extraction algorithm of a quasiseparable matrix is efficient, requiring only O(nlog(n))operations, and is proven backward stable. The row compression is comprised of a sequence of small Householder transformations that are formed from the low-rank, lower triangular, off-diagonal blocks of the hierarchical representation. The row compression forms a factorization of matrix A, where A = QC, Q is the product of the Householder transformations, and C preserves the low-rank structure in both the lower and upper triangular parts of matrix A. The nested product decomposition is accomplished by applying a sequence of orthogonal transformations to the low-rank, upper triangular, off-diagonal blocks of the compressed matrix C. Both the compression and decomposition algorithms are stable, and require O(nlog(n)) operations. At this point, the matrix-vector product and solver algorithms are the only ones fully proven to be backward stable for quasiseparable matrices. By combining the fast matrix-vector product and system solver, linear systems involving the hierarchical representation to nested product decomposition are directly solved with linear complexity and unconditional stability. Applications in image deblurring and compression, that capitalize on the concepts from the row compression and nested product decomposition algorithms, will be shown

Parallel computation of echelon forms

International audienceWe propose efficient parallel algorithms and implementations on shared memory architectures of LU factorization over a finite field. Compared to the corresponding numerical routines, we have identified three main difficulties specific to linear algebra over finite fields. First, the arithmetic complexity could be dominated by modular reductions. Therefore, it is mandatory to delay as much as possible these reductions while mixing fine-grain parallelizations of tiled iterative and recursive algorithms. Second, fast linear algebra variants, e.g., using Strassen-Winograd algorithm, never suffer from instability and can thus be widely used in cascade with the classical algorithms. There, trade-offs are to be made between size of blocks well suited to those fast variants or to load and communication balancing. Third, many applications over finite fields require the rank profile of the matrix (quite often rank deficient) rather than the solution to a linear system. It is thus important to design parallel algorithms that preserve and compute this rank profile. Moreover, as the rank profile is only discovered during the algorithm, block size has then to be dynamic. We propose and compare several block decomposition: tile iterative with left-looking, right-looking and Crout variants, slab and tile recursive. Experiments demonstrate that the tile recursive variant performs better and matches the performance of reference numerical software when no rank deficiency occur. Furthermore, even in the most heterogeneous case, namely when all pivot blocks are rank deficient, we show that it is possbile to maintain a high efficiency