8,438 research outputs found
Guaranteed Rank Minimization via Singular Value Projection
Minimizing the rank of a matrix subject to affine constraints is a
fundamental problem with many important applications in machine learning and
statistics. In this paper we propose a simple and fast algorithm SVP (Singular
Value Projection) for rank minimization with affine constraints (ARMP) and show
that SVP recovers the minimum rank solution for affine constraints that satisfy
the "restricted isometry property" and show robustness of our method to noise.
Our results improve upon a recent breakthrough by Recht, Fazel and Parillo
(RFP07) and Lee and Bresler (LB09) in three significant ways:
1) our method (SVP) is significantly simpler to analyze and easier to
implement,
2) we give recovery guarantees under strictly weaker isometry assumptions
3) we give geometric convergence guarantees for SVP even in presense of noise
and, as demonstrated empirically, SVP is significantly faster on real-world and
synthetic problems.
In addition, we address the practically important problem of low-rank matrix
completion (MCP), which can be seen as a special case of ARMP. We empirically
demonstrate that our algorithm recovers low-rank incoherent matrices from an
almost optimal number of uniformly sampled entries. We make partial progress
towards proving exact recovery and provide some intuition for the strong
performance of SVP applied to matrix completion by showing a more restricted
isometry property. Our algorithm outperforms existing methods, such as those of
\cite{RFP07,CR08,CT09,CCS08,KOM09,LB09}, for ARMP and the matrix-completion
problem by an order of magnitude and is also significantly more robust to
noise.Comment: An earlier version of this paper was submitted to NIPS-2009 on June
5, 200
Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization
The affine rank minimization problem consists of finding a matrix of minimum
rank that satisfies a given system of linear equality constraints. Such
problems have appeared in the literature of a diverse set of fields including
system identification and control, Euclidean embedding, and collaborative
filtering. Although specific instances can often be solved with specialized
algorithms, the general affine rank minimization problem is NP-hard. In this
paper, we show that if a certain restricted isometry property holds for the
linear transformation defining the constraints, the minimum rank solution can
be recovered by solving a convex optimization problem, namely the minimization
of the nuclear norm over the given affine space. We present several random
ensembles of equations where the restricted isometry property holds with
overwhelming probability. The techniques used in our analysis have strong
parallels in the compressed sensing framework. We discuss how affine rank
minimization generalizes this pre-existing concept and outline a dictionary
relating concepts from cardinality minimization to those of rank minimization
Partial Sum Minimization of Singular Values in Robust PCA: Algorithm and Applications
Robust Principal Component Analysis (RPCA) via rank minimization is a
powerful tool for recovering underlying low-rank structure of clean data
corrupted with sparse noise/outliers. In many low-level vision problems, not
only it is known that the underlying structure of clean data is low-rank, but
the exact rank of clean data is also known. Yet, when applying conventional
rank minimization for those problems, the objective function is formulated in a
way that does not fully utilize a priori target rank information about the
problems. This observation motivates us to investigate whether there is a
better alternative solution when using rank minimization. In this paper,
instead of minimizing the nuclear norm, we propose to minimize the partial sum
of singular values, which implicitly encourages the target rank constraint. Our
experimental analyses show that, when the number of samples is deficient, our
approach leads to a higher success rate than conventional rank minimization,
while the solutions obtained by the two approaches are almost identical when
the number of samples is more than sufficient. We apply our approach to various
low-level vision problems, e.g. high dynamic range imaging, motion edge
detection, photometric stereo, image alignment and recovery, and show that our
results outperform those obtained by the conventional nuclear norm rank
minimization method.Comment: Accepted in Transactions on Pattern Analysis and Machine Intelligence
(TPAMI). To appea
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