Rank Minimization over Finite Fields: Fundamental Limits and Coding-Theoretic Interpretations

This paper establishes information-theoretic limits in estimating a finite field low-rank matrix given random linear measurements of it. These linear measurements are obtained by taking inner products of the low-rank matrix with random sensing matrices. Necessary and sufficient conditions on the number of measurements required are provided. It is shown that these conditions are sharp and the minimum-rank decoder is asymptotically optimal. The reliability function of this decoder is also derived by appealing to de Caen's lower bound on the probability of a union. The sufficient condition also holds when the sensing matrices are sparse - a scenario that may be amenable to efficient decoding. More precisely, it is shown that if the n\times n-sensing matrices contain, on average, \Omega(nlog n) entries, the number of measurements required is the same as that when the sensing matrices are dense and contain entries drawn uniformly at random from the field. Analogies are drawn between the above results and rank-metric codes in the coding theory literature. In fact, we are also strongly motivated by understanding when minimum rank distance decoding of random rank-metric codes succeeds. To this end, we derive distance properties of equiprobable and sparse rank-metric codes. These distance properties provide a precise geometric interpretation of the fact that the sparse ensemble requires as few measurements as the dense one. Finally, we provide a non-exhaustive procedure to search for the unknown low-rank matrix.Comment: Accepted to the IEEE Transactions on Information Theory; Presented at IEEE International Symposium on Information Theory (ISIT) 201

Recovery of Low-Rank Plus Compressed Sparse Matrices with Application to Unveiling Traffic Anomalies

Given the superposition of a low-rank matrix plus the product of a known fat compression matrix times a sparse matrix, the goal of this paper is to establish deterministic conditions under which exact recovery of the low-rank and sparse components becomes possible. This fundamental identifiability issue arises with traffic anomaly detection in backbone networks, and subsumes compressed sensing as well as the timely low-rank plus sparse matrix recovery tasks encountered in matrix decomposition problems. Leveraging the ability of $\ell_1$- and nuclear norms to recover sparse and low-rank matrices, a convex program is formulated to estimate the unknowns. Analysis and simulations confirm that the said convex program can recover the unknowns for sufficiently low-rank and sparse enough components, along with a compression matrix possessing an isometry property when restricted to operate on sparse vectors. When the low-rank, sparse, and compression matrices are drawn from certain random ensembles, it is established that exact recovery is possible with high probability. First-order algorithms are developed to solve the nonsmooth convex optimization problem with provable iteration complexity guarantees. Insightful tests with synthetic and real network data corroborate the effectiveness of the novel approach in unveiling traffic anomalies across flows and time, and its ability to outperform existing alternatives.Comment: 38 pages, submitted to the IEEE Transactions on Information Theor

Rank-Sparsity Incoherence for Matrix Decomposition

Suppose we are given a matrix that is formed by adding an unknown sparse matrix to an unknown low-rank matrix. Our goal is to decompose the given matrix into its sparse and low-rank components. Such a problem arises in a number of applications in model and system identification, and is NP-hard in general. In this paper we consider a convex optimization formulation to splitting the specified matrix into its components, by minimizing a linear combination of the $\ell_1$ norm and the nuclear norm of the components. We develop a notion of \emph{rank-sparsity incoherence}, expressed as an uncertainty principle between the sparsity pattern of a matrix and its row and column spaces, and use it to characterize both fundamental identifiability as well as (deterministic) sufficient conditions for exact recovery. Our analysis is geometric in nature, with the tangent spaces to the algebraic varieties of sparse and low-rank matrices playing a prominent role. When the sparse and low-rank matrices are drawn from certain natural random ensembles, we show that the sufficient conditions for exact recovery are satisfied with high probability. We conclude with simulation results on synthetic matrix decomposition problems

High Dimensional Low Rank plus Sparse Matrix Decomposition

This paper is concerned with the problem of low rank plus sparse matrix decomposition for big data. Conventional algorithms for matrix decomposition use the entire data to extract the low-rank and sparse components, and are based on optimization problems with complexity that scales with the dimension of the data, which limits their scalability. Furthermore, existing randomized approaches mostly rely on uniform random sampling, which is quite inefficient for many real world data matrices that exhibit additional structures (e.g. clustering). In this paper, a scalable subspace-pursuit approach that transforms the decomposition problem to a subspace learning problem is proposed. The decomposition is carried out using a small data sketch formed from sampled columns/rows. Even when the data is sampled uniformly at random, it is shown that the sufficient number of sampled columns/rows is roughly O(r\mu), where \mu is the coherency parameter and r the rank of the low rank component. In addition, adaptive sampling algorithms are proposed to address the problem of column/row sampling from structured data. We provide an analysis of the proposed method with adaptive sampling and show that adaptive sampling makes the required number of sampled columns/rows invariant to the distribution of the data. The proposed approach is amenable to online implementation and an online scheme is proposed.Comment: IEEE Transactions on Signal Processin

Simple Bounds for Recovering Low-complexity Models

This note presents a unified analysis of the recovery of simple objects from random linear measurements. When the linear functionals are Gaussian, we show that an s-sparse vector in R^n can be efficiently recovered from 2s log n measurements with high probability and a rank r, n by n matrix can be efficiently recovered from r(6n-5r) with high probability. For sparse vectors, this is within an additive factor of the best known nonasymptotic bounds. For low-rank matrices, this matches the best known bounds. We present a parallel analysis for block sparse vectors obtaining similarly tight bounds. In the case of sparse and block sparse signals, we additionally demonstrate that our bounds are only slightly weakened when the measurement map is a random sign matrix. Our results are based on analyzing a particular dual point which certifies optimality conditions of the respective convex programming problem. Our calculations rely only on standard large deviation inequalities and our analysis is self-contained