期刊
MATHEMATICAL PROGRAMMING
卷 128, 期 1-2, 页码 321-353出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s10107-009-0306-5
关键词
Matrix rank minimization; Matrix completion problem; Nuclear norm minimization; Fixed point iterative method; Bregman distances; Singular value decomposition
类别
资金
- NSF [DMS 06-06712]
- ONR [N00014-03-0514, N00014-08-1-1118]
- DOE [DE-FG01-92ER-25126, DE-FG02-08ER-58562]
- Division Of Mathematical Sciences
- Direct For Mathematical & Physical Scien [1016571] Funding Source: National Science Foundation
The linearly constrained matrix rank minimization problem is widely applicable in many fields such as control, signal processing and system identification. The tightest convex relaxation of this problem is the linearly constrained nuclear norm minimization. Although the latter can be cast as a semidefinite programming problem, such an approach is computationally expensive to solve when the matrices are large. In this paper, we propose fixed point and Bregman iterative algorithms for solving the nuclear norm minimization problem and prove convergence of the first of these algorithms. By using a homotopy approach together with an approximate singular value decomposition procedure, we get a very fast, robust and powerful algorithm, which we call FPCA (Fixed Point Continuation with Approximate SVD), that can solve very large matrix rank minimization problems (the code can be downloaded from http://www.columbia.edu/similar to sm2756/FPCA.htm for non-commercial use). Our numerical results on randomly generated and real matrix completion problems demonstrate that this algorithm is much faster and provides much better recoverability than semidefinite programming solvers such as SDPT3. For example, our algorithm can recover 1000 x 1000 matrices of rank 50 with a relative error of 10(-5) in about 3 min by sampling only 20% of the elements. We know of no other method that achieves as good recoverability. Numerical experiments on online recommendation, DNA microarray data set and image inpainting problems demonstrate the effectiveness of our algorithms.
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