147,128 research outputs found

    Matrix Completion With Noise

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    On the heels of compressed sensing, a remarkable new field has very recently emerged. This field addresses a broad range of problems of significant practical interest, namely, the recovery of a data matrix from what appears to be incomplete, and perhaps even corrupted, information. In its simplest form, the problem is to recover a matrix from a small sample of its entries, and comes up in many areas of science and engineering including collaborative filtering, machine learning, control, remote sensing, and computer vision to name a few. This paper surveys the novel literature on matrix completion, which shows that under some suitable conditions, one can recover an unknown low-rank matrix from a nearly minimal set of entries by solving a simple convex optimization problem, namely, nuclear-norm minimization subject to data constraints. Further, this paper introduces novel results showing that matrix completion is provably accurate even when the few observed entries are corrupted with a small amount of noise. A typical result is that one can recover an unknown n x n matrix of low rank r from just about nr log^2 n noisy samples with an error which is proportional to the noise level. We present numerical results which complement our quantitative analysis and show that, in practice, nuclear norm minimization accurately fills in the many missing entries of large low-rank matrices from just a few noisy samples. Some analogies between matrix completion and compressed sensing are discussed throughout.Comment: 11 pages, 4 figures, 1 tabl

    Low Rank Matrix Completion with Exponential Family Noise

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    The matrix completion problem consists in reconstructing a matrix from a sample of entries, possibly observed with noise. A popular class of estimator, known as nuclear norm penalized estimators, are based on minimizing the sum of a data fitting term and a nuclear norm penalization. Here, we investigate the case where the noise distribution belongs to the exponential family and is sub-exponential. Our framework alllows for a general sampling scheme. We first consider an estimator defined as the minimizer of the sum of a log-likelihood term and a nuclear norm penalization and prove an upper bound on the Frobenius prediction risk. The rate obtained improves on previous works on matrix completion for exponential family. When the sampling distribution is known, we propose another estimator and prove an oracle inequality w.r.t. the Kullback-Leibler prediction risk, which translates immediatly into an upper bound on the Frobenius prediction risk. Finally, we show that all the rates obtained are minimax optimal up to a logarithmic factor

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

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    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

    Restricted strong convexity and weighted matrix completion: Optimal bounds with noise

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    We consider the matrix completion problem under a form of row/column weighted entrywise sampling, including the case of uniform entrywise sampling as a special case. We analyze the associated random observation operator, and prove that with high probability, it satisfies a form of restricted strong convexity with respect to weighted Frobenius norm. Using this property, we obtain as corollaries a number of error bounds on matrix completion in the weighted Frobenius norm under noisy sampling and for both exact and near low-rank matrices. Our results are based on measures of the "spikiness" and "low-rankness" of matrices that are less restrictive than the incoherence conditions imposed in previous work. Our technique involves an MM-estimator that includes controls on both the rank and spikiness of the solution, and we establish non-asymptotic error bounds in weighted Frobenius norm for recovering matrices lying with ℓq\ell_q-"balls" of bounded spikiness. Using information-theoretic methods, we show that no algorithm can achieve better estimates (up to a logarithmic factor) over these same sets, showing that our conditions on matrices and associated rates are essentially optimal

    Matrix Completion with Noise via Leveraged Sampling

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    Many matrix completion methods assume that the data follows the uniform distribution. To address the limitation of this assumption, Chen et al. \cite{Chen20152999} propose to recover the matrix where the data follows the specific biased distribution. Unfortunately, in most real-world applications, the recovery of a data matrix appears to be incomplete, and perhaps even corrupted information. This paper considers the recovery of a low-rank matrix, where some observed entries are sampled in a \emph{biased distribution} suitably dependent on \emph{leverage scores} of a matrix, and some observed entries are uniformly corrupted. Our theoretical findings show that we can provably recover an unknown n×nn\times n matrix of rank rr from just about O(nrlog⁡2n)O(nr\log^2 n) entries even when the few observed entries are corrupted with a small amount of noisy information. Empirical studies verify our theoretical results

    Exponential Family Matrix Completion under Structural Constraints

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    We consider the matrix completion problem of recovering a structured matrix from noisy and partial measurements. Recent works have proposed tractable estimators with strong statistical guarantees for the case where the underlying matrix is low--rank, and the measurements consist of a subset, either of the exact individual entries, or of the entries perturbed by additive Gaussian noise, which is thus implicitly suited for thin--tailed continuous data. Arguably, common applications of matrix completion require estimators for (a) heterogeneous data--types, such as skewed--continuous, count, binary, etc., (b) for heterogeneous noise models (beyond Gaussian), which capture varied uncertainty in the measurements, and (c) heterogeneous structural constraints beyond low--rank, such as block--sparsity, or a superposition structure of low--rank plus elementwise sparseness, among others. In this paper, we provide a vastly unified framework for generalized matrix completion by considering a matrix completion setting wherein the matrix entries are sampled from any member of the rich family of exponential family distributions; and impose general structural constraints on the underlying matrix, as captured by a general regularizer R(.)\mathcal{R}(.). We propose a simple convex regularized MM--estimator for the generalized framework, and provide a unified and novel statistical analysis for this general class of estimators. We finally corroborate our theoretical results on simulated datasets.Comment: 20 pages, 9 figure

    Poisson Matrix Completion

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    We extend the theory of matrix completion to the case where we make Poisson observations for a subset of entries of a low-rank matrix. We consider the (now) usual matrix recovery formulation through maximum likelihood with proper constraints on the matrix MM, and establish theoretical upper and lower bounds on the recovery error. Our bounds are nearly optimal up to a factor on the order of O(log⁥(d1d2))\mathcal{O}(\log(d_1 d_2)). These bounds are obtained by adapting the arguments used for one-bit matrix completion \cite{davenport20121} (although these two problems are different in nature) and the adaptation requires new techniques exploiting properties of the Poisson likelihood function and tackling the difficulties posed by the locally sub-Gaussian characteristic of the Poisson distribution. Our results highlight a few important distinctions of Poisson matrix completion compared to the prior work in matrix completion including having to impose a minimum signal-to-noise requirement on each observed entry. We also develop an efficient iterative algorithm and demonstrate its good performance in recovering solar flare images.Comment: Submitted to IEEE for publicatio

    Constructing confidence sets for the matrix completion problem

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    In the present note we consider the problem of constructing honest and adaptive confidence sets for the matrix completion problem. For the Bernoulli model with known variance of the noise we provide a realizable method for constructing confidence sets that adapt to the unknown rank of the true matrix
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