An overview of low-rank matrix recovery from incomplete observations
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paper_title: Theory of semidefinite programming for sensor network localization

paper_content:

We analyze the semidefinite programming (SDP) based model and method for the position estimation problem in sensor network localization and other Euclidean distance geometry applications. We use SDP duality and interior-point algorithm theories to prove that the SDP localizes any network or graph that has unique sensor positions to fit given distance measures. Therefore, we show, for the first time, that these networks can be localized in polynomial time. We also give a simple and efficient criterion for checking whether a given instance of the localization problem has a unique realization in R2 using graph rigidity theory. Finally, we introduce a notion called strong localizability and show that the SDP model will identify all strongly localizable subnetworks in the input network.
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paper_title: The Power of Convex Relaxation: Near-Optimal Matrix Completion

paper_content:

This paper is concerned with the problem of recovering an unknown matrix from a small fraction of its entries. This is known as the matrix completion problem, and comes up in a great number of applications, including the famous Netflix Prize and other similar questions in collaborative filtering. In general, accurate recovery of a matrix from a small number of entries is impossible; but the knowledge that the unknown matrix has low rank radically changes this premise, making the search for solutions meaningful. ::: This paper presents optimality results quantifying the minimum number of entries needed to recover a matrix of rank r exactly by any method whatsoever (the information theoretic limit). More importantly, the paper shows that, under certain incoherence assumptions on the singular vectors of the matrix, recovery is possible by solving a convenient convex program as soon as the number of entries is on the order of the information theoretic limit (up to logarithmic factors). This convex program simply finds, among all matrices consistent with the observed entries, that with minimum nuclear norm. As an example, we show that on the order of nr log(n) samples are needed to recover a random n x n matrix of rank r by any method, and to be sure, nuclear norm minimization succeeds as soon as the number of entries is of the form nr polylog(n).
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paper_title: Uniqueness of Low-Rank Matrix Completion by Rigidity Theory

paper_content:

The problem of completing a low-rank matrix from a subset of its entries is often encountered in the analysis of incomplete data sets exhibiting an underlying factor model with applications in collaborative filtering, computer vision and control. Most recent work had been focused on constructing efficient algorithms for exact or approximate recovery of the missing matrix entries and proving lower bounds for the number of known entries that guarantee a successful recovery with high probability. A related problem from both the mathematical and algorithmic point of view is the distance geometry problem of realizing points in a Euclidean space from a given subset of their pairwise distances. Rigidity theory answers basic questions regarding the uniqueness of the realization satisfying a given partial set of distances. We observe that basic ideas and tools of rigidity theory can be adapted to determine uniqueness of low-rank matrix completion, where inner products play the role that distances play in rigidity theory. This observation leads to an efficient randomized algorithm for testing both local and global unique completion. Crucial to our analysis is a new matrix, which we call the completion matrix, that serves as the analogue of the rigidity matrix.
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paper_title: Rank Awareness in Joint Sparse Recovery

paper_content:

In this paper we revisit the sparse multiple measurement vector (MMV) problem where the aim is to recover a set of jointly sparse multichannel vectors from incomplete measurements. This problem has received increasing interest as an extension of the single channel sparse recovery problem which lies at the heart of the emerging field of compressed sensing. However the sparse approximation problem has origins which include links to the field of array signal processing where we find the inspiration for a new family of MMV algorithms based on the MUSIC algorithm. We highlight the role of the rank of the coefficient matrix X in determining the difficulty of the recovery problem. We derive the necessary and sufficient conditions for the uniqueness of the sparse MMV solution, which indicates that the larger the rank of X the less sparse X needs to be to ensure uniqueness. We also show that the larger the rank of X the less the computational effort required to solve the MMV problem through a combinatorial search. In the second part of the paper we consider practical suboptimal algorithms for solving the sparse MMV problem. We examine the rank awareness of popular algorithms such as SOMP and mixed norm minimization techniques and show them to be rank blind in terms of worst case analysis. We then consider a family of greedy algorithms that are rank aware. The simplest such algorithm is a discrete version of MUSIC and is guaranteed to recover the sparse vectors in the full rank MMV case under mild conditions. We extend this idea to develop a rank aware pursuit algorithm that naturally reduces to Order Recursive Matching Pursuit (ORMP) in the single measurement case and also provides guaranteed recovery in the full rank multi-measurement case. Numerical simulations demonstrate that the rank aware algorithms are significantly better than existing algorithms in dealing with multiple measurements.
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paper_title: Recovering low-rank matrices from few coefficients in any basis

paper_content:

We present novel techniques for analyzing the problem of low-rank matrix recovery. The methods are both considerably simpler and more general than previous approaches. It is shown that an unknown matrix of rank can be efficiently reconstructed from only randomly sampled expansion coefficients with respect to any given matrix basis. The number quantifies the “degree of incoherence” between the unknown matrix and the basis. Existing work concentrated mostly on the problem of “matrix completion” where one aims to recover a low-rank matrix from randomly selected matrix elements. Our result covers this situation as a special case. The proof consists of a series of relatively elementary steps, which stands in contrast to the highly involved methods previously employed to obtain comparable results. In cases where bounds had been known before, our estimates are slightly tighter. We discuss operator bases which are incoherent to all low-rank matrices simultaneously. For these bases, we show that randomly sampled expansion coefficients suffice to recover any low-rank matrix with high probability. The latter bound is tight up to multiplicative constants.
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paper_title: The geometry of graphs and some of its algorithmic applications

paper_content:

We explore some implications of viewing graphs as geometric objects. This approach offers a new perspective on a number of graph-theoretic and algorithmic problems. There are several ways to model graphs geometrically and our main concern here is with geometric representations that respect the metric of the (possibly weighted) graph. Given a graph G we map its vertices to a normed space in an attempt to (i) Keep down the dimension of the host space and (ii) Guarantee a small distortion, i.e., make sure that distances between vertices in G closely match the distances between their geometric images. We develop efficient algorithms for embedding graphs low-dimensionally with a small distortion. >
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paper_title: Compressed sensing

paper_content:

Suppose x is an unknown vector in Ropfm (a digital image or signal); we plan to measure n general linear functionals of x and then reconstruct. If x is known to be compressible by transform coding with a known transform, and we reconstruct via the nonlinear procedure defined here, the number of measurements n can be dramatically smaller than the size m. Thus, certain natural classes of images with m pixels need only n=O(m1/4log5/2(m)) nonadaptive nonpixel samples for faithful recovery, as opposed to the usual m pixel samples. More specifically, suppose x has a sparse representation in some orthonormal basis (e.g., wavelet, Fourier) or tight frame (e.g., curvelet, Gabor)-so the coefficients belong to an lscrp ball for 0<ples1. The N most important coefficients in that expansion allow reconstruction with lscr2 error O(N1/2-1p/). It is possible to design n=O(Nlog(m)) nonadaptive measurements allowing reconstruction with accuracy comparable to that attainable with direct knowledge of the N most important coefficients. Moreover, a good approximation to those N important coefficients is extracted from the n measurements by solving a linear program-Basis Pursuit in signal processing. The nonadaptive measurements have the character of "random" linear combinations of basis/frame elements. Our results use the notions of optimal recovery, of n-widths, and information-based complexity. We estimate the Gel'fand n-widths of lscrp balls in high-dimensional Euclidean space in the case 0<ples1, and give a criterion identifying near- optimal subspaces for Gel'fand n-widths. We show that "most" subspaces are near-optimal, and show that convex optimization (Basis Pursuit) is a near-optimal way to extract information derived from these near-optimal subspaces
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paper_title: A Simpler Approach to Matrix Completion

paper_content:

This paper provides the best bounds to date on the number of randomly sampled entries required to reconstruct an unknown low rank matrix. These results improve on prior work by Candes and Recht, Candes and Tao, and Keshavan, Montanari, and Oh. The reconstruction is accomplished by minimizing the nuclear norm, or sum of the singular values, of the hidden matrix subject to agreement with the provided entries. If the underlying matrix satisfies a certain incoherence condition, then the number of entries required is equal to a quadratic logarithmic factor times the number of parameters in the singular value decomposition. The proof of this assertion is short, self contained, and uses very elementary analysis. The novel techniques herein are based on recent work in quantum information theory.
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paper_title: Semidefinite programming based algorithms for sensor network localization

paper_content:

An SDP relaxation based method is developed to solve the localization problem in sensor networks using incomplete and inaccurate distance information. The problem is set up to find a set of sensor positions such that given distance constraints are satisfied. The nonconvex constraints in the formulation are then relaxed in order to yield a semidefinite program that can be solved efficiently.The basic model is extended in order to account for noisy distance information. In particular, a maximum likelihood based formulation and an interval based formulation are discussed. The SDP solution can then also be used as a starting point for steepest descent based local optimization techniques that can further refine the SDP solution.We also describe the extension of the basic method to develop an iterative distributed SDP method for solving very large scale semidefinite programs that arise out of localization problems for large dense networks and are intractable using centralized methods.The performance evaluation of the technique with regard to estimation accuracy and computation time is also presented by the means of extensive simulations.Our SDP scheme also seems to be applicable to solving other Euclidean geometry problems where points are locally connected.
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paper_title: Matrix Completion From a Few Entries

paper_content:

Let M be an n? × n matrix of rank r, and assume that a uniformly random subset E of its entries is observed. We describe an efficient algorithm, which we call OptSpace, that reconstructs M from |E| = O(rn) observed entries with relative root mean square error 1/2 RMSE ? C(?) (nr/|E|)1/2 with probability larger than 1 - 1/n3. Further, if r = O(1) and M is sufficiently unstructured, then OptSpace reconstructs it exactly from |E| = O(n log n) entries with probability larger than 1 - 1/n3. This settles (in the case of bounded rank) a question left open by Candes and Recht and improves over the guarantees for their reconstruction algorithm. The complexity of our algorithm is O(|E|r log n), which opens the way to its use for massive data sets. In the process of proving these statements, we obtain a generalization of a celebrated result by Friedman-Kahn-Szemeredi and Feige-Ofek on the spectrum of sparse random matrices.
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paper_title: Latent semantic analysis

paper_content:

To construct a tunnel in a formation (11, 15) with zones of high hydraulic pressure (15), a gallery (13) is driven from the stable formation (11) toward the problem formation zone (15). At least one lock zone (19) with pressure-tight gates (23, 23') is constructed under protection of the stable formation (11) at some distance from the problem formation zone (15). Behind this lock zone (19) the gallery (13) is now filled with water (25) and pressurized. Further driving into the problem formation zone (15) and therethrough is now performed under water (25) having a pressure corresponding to the hydraulic pressure of the problem formation zone (15). For this purpose the machines (47, 47', 73) are remote-controlled and are controlled and monitored from the atmospheric zone (17). Material transportation operations are managed substantially via the lock zone (19). The gallery (13) is stabilized against the static rock pressure by a first tunnel lining (71) and sealed against the hydrostatic pressure by a watertight internal ring installed inside the first tunnel lining.
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paper_title: Interior-Point Method for Nuclear Norm Approximation with Application to System Identification

paper_content:

The nuclear norm (sum of singular values) of a matrix is often used in convex heuristics for rank minimization problems in control, signal processing, and statistics. Such heuristics can be viewed as extensions of $\ell_1$-norm minimization techniques for cardinality minimization and sparse signal estimation. In this paper we consider the problem of minimizing the nuclear norm of an affine matrix-valued function. This problem can be formulated as a semidefinite program, but the reformulation requires large auxiliary matrix variables, and is expensive to solve by general-purpose interior-point solvers. We show that problem structure in the semidefinite programming formulation can be exploited to develop more efficient implementations of interior-point methods. In the fast implementation, the cost per iteration is reduced to a quartic function of the problem dimensions and is comparable to the cost of solving the approximation problem in the Frobenius norm. In the second part of the paper, the nuclear norm approximation algorithm is applied to system identification. A variant of a simple subspace algorithm is presented in which low-rank matrix approximations are computed via nuclear norm minimization instead of the singular value decomposition. This has the important advantage of preserving linear matrix structure in the low-rank approximation. The method is shown to perform well on publicly available benchmark data.
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paper_title: Quantum state tomography via compressed sensing

paper_content:

We establish methods for quantum state tomography based on compressed sensing. These methods are specialized for quantum states that are fairly pure, and they offer a significant performance improvement on large quantum systems. In particular, they are able to reconstruct an unknown density matrix of dimension d and rank r using O(rdlog^2d) measurement settings, compared to standard methods that require d^2 settings. Our methods have several features that make them amenable to experimental implementation: they require only simple Pauli measurements, use fast convex optimization, are stable against noise, and can be applied to states that are only approximately low rank. The acquired data can be used to certify that the state is indeed close to pure, so no a priori assumptions are needed.
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paper_title: Compressive Multiplexing of Correlated Signals

paper_content:

We present a general architecture for the acquisition of ensembles of correlated signals. The signals are multiplexed onto a single line by mixing each one against a different code and then adding them together, and the resulting signal is sampled at a high rate. We show that if the $M$ signals, each bandlimited to $W/2$ Hz, can be approximated by a superposition of $R < M$ underlying signals, then the ensemble can be recovered by sampling at a rate within a logarithmic factor of $RW$ (as compared to the Nyquist rate of $MW$). This sampling theorem shows that the correlation structure of the signal ensemble can be exploited in the acquisition process even though it is unknown a priori. ::: The reconstruction of the ensemble is recast as a low-rank matrix recovery problem from linear measurements. The architectures we are considering impose a certain type of structure on the linear operators. Although our results depend on the mixing forms being random, this imposed structure results in a very different type of random projection than those analyzed in the low-rank recovery literature to date.
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paper_title: Fast maximum margin matrix factorization for collaborative prediction

paper_content:

Maximum Margin Matrix Factorization (MMMF) was recently suggested (Srebro et al., 2005) as a convex, infinite dimensional alternative to low-rank approximations and standard factor models. MMMF can be formulated as a semi-definite programming (SDP) and learned using standard SDP solvers. However, current SDP solvers can only handle MMMF problems on matrices of dimensionality up to a few hundred. Here, we investigate a direct gradient-based optimization method for MMMF and demonstrate it on large collaborative prediction problems. We compare against results obtained by Marlin (2004) and find that MMMF substantially outperforms all nine methods he tested.
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paper_title: Exact Matrix Completion via Convex Optimization

paper_content:

We consider a problem of considerable practical interest: the recovery of a data matrix from a sampling of its entries. Suppose that we observe m entries selected uniformly at random from a matrix M. Can we complete the matrix and recover the entries that we have not seen? ::: ::: We show that one can perfectly recover most low-rank matrices from what appears to be an incomplete set of entries. We prove that if the number m of sampled entries obeys $$m\ge C\,n^{1.2}r\log n$$ for some positive numerical constant C, then with very high probability, most n×n matrices of rank r can be perfectly recovered by solving a simple convex optimization program. This program finds the matrix with minimum nuclear norm that fits the data. The condition above assumes that the rank is not too large. However, if one replaces the 1.2 exponent with 1.25, then the result holds for all values of the rank. Similar results hold for arbitrary rectangular matrices as well. Our results are connected with the recent literature on compressed sensing, and show that objects other than signals and images can be perfectly reconstructed from very limited information.
---
paper_title: Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

paper_content:

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.
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paper_title: Joint covariate selection and joint subspace selection for multiple classification problems

paper_content:

We address the problem of recovering a common set of covariates that are relevant simultaneously to several classification problems. By penalizing the sum of ? 2 norms of the blocks of coefficients associated with each covariate across different classification problems, similar sparsity patterns in all models are encouraged. To take computational advantage of the sparsity of solutions at high regularization levels, we propose a blockwise path-following scheme that approximately traces the regularization path. As the regularization coefficient decreases, the algorithm maintains and updates concurrently a growing set of covariates that are simultaneously active for all problems. We also show how to use random projections to extend this approach to the problem of joint subspace selection, where multiple predictors are found in a common low-dimensional subspace. We present theoretical results showing that this random projection approach converges to the solution yielded by trace-norm regularization. Finally, we present a variety of experimental results exploring joint covariate selection and joint subspace selection, comparing the path-following approach to competing algorithms in terms of prediction accuracy and running time.
---
paper_title: The Power of Convex Relaxation: Near-Optimal Matrix Completion

paper_content:

This paper is concerned with the problem of recovering an unknown matrix from a small fraction of its entries. This is known as the matrix completion problem, and comes up in a great number of applications, including the famous Netflix Prize and other similar questions in collaborative filtering. In general, accurate recovery of a matrix from a small number of entries is impossible; but the knowledge that the unknown matrix has low rank radically changes this premise, making the search for solutions meaningful. ::: This paper presents optimality results quantifying the minimum number of entries needed to recover a matrix of rank r exactly by any method whatsoever (the information theoretic limit). More importantly, the paper shows that, under certain incoherence assumptions on the singular vectors of the matrix, recovery is possible by solving a convenient convex program as soon as the number of entries is on the order of the information theoretic limit (up to logarithmic factors). This convex program simply finds, among all matrices consistent with the observed entries, that with minimum nuclear norm. As an example, we show that on the order of nr log(n) samples are needed to recover a random n x n matrix of rank r by any method, and to be sure, nuclear norm minimization succeeds as soon as the number of entries is of the form nr polylog(n).
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paper_title: Lifting for Blind Deconvolution in Random Mask Imaging: Identifiability and Convex Relaxation

paper_content:

In this paper we analyze the blind deconvolution of an image and an unknown blur in a coded imaging system. The measurements consist of subsampled convolution of an unknown blurring kernel with multiple random binary modulations (coded masks) of the image. To perform the deconvolution, we consider a standard lifting of the image and the blurring kernel that transforms the measurements into a set of linear equations of the matrix formed by their outer product. Any rank-one solution to this system of equations provides a valid pair of an image and a blur. We first express the necessary and sufficient conditions for the uniqueness of a rank-one solution under some additional assumptions (uniform subsampling and no limit on the number of coded masks). These conditions are a special case of a previously established result regarding identifiability in the matrix completion problem. We also characterize a low-dimensional subspace model for the blur kernel that is sufficient to guarantee identifiability, includin...
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paper_title: Recovering low-rank matrices from few coefficients in any basis

paper_content:

We present novel techniques for analyzing the problem of low-rank matrix recovery. The methods are both considerably simpler and more general than previous approaches. It is shown that an unknown matrix of rank can be efficiently reconstructed from only randomly sampled expansion coefficients with respect to any given matrix basis. The number quantifies the “degree of incoherence” between the unknown matrix and the basis. Existing work concentrated mostly on the problem of “matrix completion” where one aims to recover a low-rank matrix from randomly selected matrix elements. Our result covers this situation as a special case. The proof consists of a series of relatively elementary steps, which stands in contrast to the highly involved methods previously employed to obtain comparable results. In cases where bounds had been known before, our estimates are slightly tighter. We discuss operator bases which are incoherent to all low-rank matrices simultaneously. For these bases, we show that randomly sampled expansion coefficients suffice to recover any low-rank matrix with high probability. The latter bound is tight up to multiplicative constants.
---
paper_title: A Simpler Approach to Matrix Completion

paper_content:

This paper provides the best bounds to date on the number of randomly sampled entries required to reconstruct an unknown low rank matrix. These results improve on prior work by Candes and Recht, Candes and Tao, and Keshavan, Montanari, and Oh. The reconstruction is accomplished by minimizing the nuclear norm, or sum of the singular values, of the hidden matrix subject to agreement with the provided entries. If the underlying matrix satisfies a certain incoherence condition, then the number of entries required is equal to a quadratic logarithmic factor times the number of parameters in the singular value decomposition. The proof of this assertion is short, self contained, and uses very elementary analysis. The novel techniques herein are based on recent work in quantum information theory.
---
paper_title: Matrix Completion From a Few Entries

paper_content:

Let M be an n? × n matrix of rank r, and assume that a uniformly random subset E of its entries is observed. We describe an efficient algorithm, which we call OptSpace, that reconstructs M from |E| = O(rn) observed entries with relative root mean square error 1/2 RMSE ? C(?) (nr/|E|)1/2 with probability larger than 1 - 1/n3. Further, if r = O(1) and M is sufficiently unstructured, then OptSpace reconstructs it exactly from |E| = O(n log n) entries with probability larger than 1 - 1/n3. This settles (in the case of bounded rank) a question left open by Candes and Recht and improves over the guarantees for their reconstruction algorithm. The complexity of our algorithm is O(|E|r log n), which opens the way to its use for massive data sets. In the process of proving these statements, we obtain a generalization of a celebrated result by Friedman-Kahn-Szemeredi and Feige-Ofek on the spectrum of sparse random matrices.
---
paper_title: Convex Blind Deconvolution with Random Masks

paper_content:

We solve blind deconvolution problems where one signal is modulated by multiple random masks using nuclear norm minimization. Theoretical analysis shows the number of masks for successful recovery scales as poly-logarithm of the problem dimension.
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paper_title: Compressive Sampling of Ensembles of Correlated Signals

paper_content:

We propose several sampling architectures for the efficient acquisition of an ensemble of correlated signals. We show that without prior knowledge of the correlation structure, each of our architectures (under different sets of assumptions) can acquire the ensemble at a sub-Nyquist rate. Prior to sampling, the analog signals are diversified using simple, implementable components. The diversification is achieved by injecting types of “structured randomness” into the ensemble, the result of which is subsampled. For reconstruction, the ensemble is modeled as a low-rank matrix that we have observed through an (undetermined) set of linear equations. Our main results show that this matrix can be recovered using a convex program when the total number of samples is on the order of the intrinsic degree of freedom of the ensemble — the more heavily correlated the ensemble, the fewer samples are needed. To motivate this study, we discuss how such ensembles arise in the context of array processing.
---
paper_title: Compressive Multiplexing of Correlated Signals

paper_content:

We present a general architecture for the acquisition of ensembles of correlated signals. The signals are multiplexed onto a single line by mixing each one against a different code and then adding them together, and the resulting signal is sampled at a high rate. We show that if the $M$ signals, each bandlimited to $W/2$ Hz, can be approximated by a superposition of $R < M$ underlying signals, then the ensemble can be recovered by sampling at a rate within a logarithmic factor of $RW$ (as compared to the Nyquist rate of $MW$). This sampling theorem shows that the correlation structure of the signal ensemble can be exploited in the acquisition process even though it is unknown a priori. ::: The reconstruction of the ensemble is recast as a low-rank matrix recovery problem from linear measurements. The architectures we are considering impose a certain type of structure on the linear operators. Although our results depend on the mixing forms being random, this imposed structure results in a very different type of random projection than those analyzed in the low-rank recovery literature to date.
---
paper_title: Exact Matrix Completion via Convex Optimization

paper_content:

We consider a problem of considerable practical interest: the recovery of a data matrix from a sampling of its entries. Suppose that we observe m entries selected uniformly at random from a matrix M. Can we complete the matrix and recover the entries that we have not seen? ::: ::: We show that one can perfectly recover most low-rank matrices from what appears to be an incomplete set of entries. We prove that if the number m of sampled entries obeys $$m\ge C\,n^{1.2}r\log n$$ for some positive numerical constant C, then with very high probability, most n×n matrices of rank r can be perfectly recovered by solving a simple convex optimization program. This program finds the matrix with minimum nuclear norm that fits the data. The condition above assumes that the rank is not too large. However, if one replaces the 1.2 exponent with 1.25, then the result holds for all values of the rank. Similar results hold for arbitrary rectangular matrices as well. Our results are connected with the recent literature on compressed sensing, and show that objects other than signals and images can be perfectly reconstructed from very limited information.
---
paper_title: Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

paper_content:

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.
---
paper_title: Structured random measurements in signal processing

paper_content:

Compressed sensing and its extensions have recently triggered interest in randomized signal acquisition. A key finding is that random measurements provide sparse signal reconstruction guarantees for efficient and stable algorithms with a minimal number of samples. While this was first shown for (unstructured) Gaussian random measurement matrices, applications require certain structure of the measurements leading to structured random measurement matrices. Near optimal recovery guarantees for such structured measurements have been developed over the past years in a variety of contexts. This article surveys the theory in three scenarios: compressed sensing (sparse recovery), low rank matrix recovery, and phaseless estimation. The random measurement matrices to be considered include random partial Fourier matrices, partial random circulant matrices (subsampled convolutions), matrix completion, and phase estimation from magnitudes of Fourier type measurements. The article concludes with a brief discussion of the mathematical techniques for the analysis of such structured random measurements.
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paper_title: Matrix analysis

paper_content:

Linear algebra and matrix theory are fundamental tools in mathematical and physical science, as well as fertile fields for research. This new edition of the acclaimed text presents results of both classic and recent matrix analyses using canonical forms as a unifying theme, and demonstrates their importance in a variety of applications. The authors have thoroughly revised, updated, and expanded on the first edition. The book opens with an extended summary of useful concepts and facts and includes numerous new topics and features, such as: - New sections on the singular value and CS decompositions - New applications of the Jordan canonical form - A new section on the Weyr canonical form - Expanded treatments of inverse problems and of block matrices - A central role for the Von Neumann trace theorem - A new appendix with a modern list of canonical forms for a pair of Hermitian matrices and for a symmetric-skew symmetric pair - Expanded index with more than 3,500 entries for easy reference - More than 1,100 problems and exercises, many with hints, to reinforce understanding and develop auxiliary themes such as finite-dimensional quantum systems, the compound and adjugate matrices, and the Loewner ellipsoid - A new appendix provides a collection of problem-solving hints.
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paper_title: Randomized algorithms for matrices and data

paper_content:

Randomized algorithms for very large matrix problems have received a great deal of attention in recent years. Much of this work was motivated by problems in large-scale data analysis, and this work was performed by individuals from many different research communities. This monograph will provide a detailed overview of recent work on the theory of randomized matrix algorithms as well as the application of those ideas to the solution of practical problems in large-scale data analysis. An emphasis will be placed on a few simple core ideas that underlie not only recent theoretical advances but also the usefulness of these tools in large-scale data applications. Crucial in this context is the connection with the concept of statistical leverage. This concept has long been used in statistical regression diagnostics to identify outliers; and it has recently proved crucial in the development of improved worst-case matrix algorithms that are also amenable to high-quality numerical implementation and that are useful to domain scientists. Randomized methods solve problems such as the linear least-squares problem and the low-rank matrix approximation problem by constructing and operating on a randomized sketch of the input matrix. Depending on the specifics of the situation, when compared with the best previously-existing deterministic algorithms, the resulting randomized algorithms have worst-case running time that is asymptotically faster; their numerical implementations are faster in terms of clock-time; or they can be implemented in parallel computing environments where existing numerical algorithms fail to run at all. Numerous examples illustrating these observations will be described in detail.
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paper_title: Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions

paper_content:

Low-rank matrix approximations, such as the truncated singular value decomposition and the rank-revealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys and extends recent research which demonstrates that randomization offers a powerful tool for performing low-rank matrix approximation. These techniques exploit modern computational architectures more fully than classical methods and open the possibility of dealing with truly massive data sets. This paper presents a modular framework for constructing randomized algorithms that compute partial matrix decompositions. These methods use random sampling to identify a subspace that captures most of the action of a matrix. The input matrix is then compressed---either explicitly or implicitly---to this subspace, and the reduced matrix is manipulated deterministically to obtain the desired low-rank factorization. In many cases, this approach beats its classical competitors in terms of accuracy, speed, and robustness. These claims are supported by extensive numerical experiments and a detailed error analysis.
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paper_title: Large-scale SVD and manifold learning

paper_content:

This paper examines the efficacy of sampling-based low-rank approximation techniques when applied to large dense kernel matrices. We analyze two common approximate singular value decomposition techniques, namely the Nystrom and Column sampling methods. We present a theoretical comparison between these two methods, provide novel insights regarding their suitability for various tasks and present experimental results that support our theory. Our results illustrate the relative strengths of each method. We next examine the performance of these two techniques on the large-scale task of extracting low-dimensional manifold structure given millions of high-dimensional face images. We address the computational challenges of non-linear dimensionality reduction via Isomap and Laplacian Eigenmaps, using a graph containing about 18 million nodes and 65 million edges. We present extensive experiments on learning low-dimensional embeddings for two large face data sets: CMU-PIE (35 thousand faces) and a web data set (18 million faces). Our comparisons show that the Nystrom approximation is superior to the Column sampling method for this task. Furthermore, approximate Isomap tends to perform better than Laplacian Eigenmaps on both clustering and classification with the labeled CMU-PIE data set.
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paper_title: Proximal Splitting Methods in Signal Processing

paper_content:

The proximity operator of a convex function is a natural extension of the notion of a projection operator onto a convex set. This tool, which plays a central role in the analysis and the numerical solution of convex optimization problems, has recently been introduced in the arena of signal processing, where it has become increasingly important. In this paper, we review the basic properties of proximity operators which are relevant to signal processing and present optimization methods based on these operators. These proximal splitting methods are shown to capture and extend several well-known algorithms in a unifying framework. Applications of proximal methods in signal recovery and synthesis are discussed.
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paper_title: A nonlinear programming algorithm for solving semidefinite programs via low-rank factorization

paper_content:

In this paper, we present a nonlinear programming algorithm for solving semidefinite programs (SDPs) in standard form. The algorithm's distinguishing feature is a change of variables that replaces the symmetric, positive semidefinite variable X of the SDP with a rectangular variable R according to the factorization X=RR T . The rank of the factorization, i.e., the number of columns of R, is chosen minimally so as to enhance computational speed while maintaining equivalence with the SDP. Fundamental results concerning the convergence of the algorithm are derived, and encouraging computational results on some large-scale test problems are also presented.
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paper_title: M.: A fast iterative shrinkage-thresholding algorithm for linear inverse problems

paper_content:

We consider the class of iterative shrinkage-thresholding algorithms (ISTA) for solving linear inverse problems arising in signal/image processing. This class of methods, which can be viewed as an extension of the classical gradient algorithm, is attractive due to its simplicity and thus is adequate for solving large-scale problems even with dense matrix data. However, such methods are also known to converge quite slowly. In this paper we present a new fast iterative shrinkage-thresholding algorithm (FISTA) which preserves the computational simplicity of ISTA but with a global rate of convergence which is proven to be significantly better, both theoretically and practically. Initial promising numerical results for wavelet-based image deblurring demonstrate the capabilities of FISTA which is shown to be faster than ISTA by several orders of magnitude.
---
paper_title: Local minima and convergence in low-rank semidefinite programming

paper_content:

The low-rank semidefinite programming problem LRSDPr is a restriction of the semidefinite programming problem SDP in which a bound r is imposed on the rank of X, and it is well known that LRSDPr is equivalent to SDP if r is not too small. In this paper, we classify the local minima of LRSDPr and prove the optimal convergence of a slight variant of the successful, yet experimental, algorithm of Burer and Monteiro [5], which handles LRSDPr via the nonconvex change of variables X=RRT. In addition, for particular problem classes, we describe a practical technique for obtaining lower bounds on the optimal solution value during the execution of the algorithm. Computational results are presented on a set of combinatorial optimization relaxations, including some of the largest quadratic assignment SDPs solved to date.
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paper_title: On signal reconstruction without phase

paper_content:

We will construct new classes of Parseval frames for a Hilbert space which allow signal reconstruction from the absolute value of the frame coefficients. As a consequence, signal reconstruction can be done without using phase or its estimation. This verifies a longstanding conjecture of the speech processing community.
---
paper_title: A Singular Value Thresholding Algorithm for Matrix Completion

paper_content:

This paper introduces a novel algorithm to approximate the matrix with minimum nuclear norm among all matrices obeying a set of convex constraints. This problem may be understood as the convex relaxation of a rank minimization problem, and arises in many important applications as in the task of recovering a large matrix from a small subset of its entries (the famous Netflix problem). Off-the-shelf algorithms such as interior point methods are not directly amenable to large problems of this kind with over a million unknown entries. This paper develops a simple first-order and easy-to-implement algorithm that is extremely efficient at addressing problems in which the optimal solution has low rank. The algorithm is iterative and produces a sequence of matrices (X^k, Y^k) and at each step, mainly performs a soft-thresholding operation on the singular values of the matrix Y^k. There are two remarkable features making this attractive for low-rank matrix completion problems. The first is that the soft-thresholding operation is applied to a sparse matrix; the second is that the rank of the iterates X^k is empirically nondecreasing. Both these facts allow the algorithm to make use of very minimal storage space and keep the computational cost of each iteration low. We provide numerical examples in which 1,000 by 1,000 matrices are recovered in less than a minute on a modest desktop computer. We also demonstrate that our approach is amenable to very large scale problems by recovering matrices of rank about 10 with nearly a billion unknowns from just about 0.4% of their sampled entries. Our methods are connected with linearized Bregman iterations for l1 minimization, and we develop a framework in which one can understand these algorithms in terms of well-known Lagrange multiplier algorithms.
---
paper_title: Parallel stochastic gradient algorithms for large-scale matrix completion

paper_content:

This paper develops Jellyfish, an algorithm for solving data-processing problems with matrix-valued decision variables regularized to have low rank. Particular examples of problems solvable by Jellyfish include matrix completion problems and least-squares problems regularized by the nuclear norm or \(\gamma _2\)-norm. Jellyfish implements a projected incremental gradient method with a biased, random ordering of the increments. This biased ordering allows for a parallel implementation that admits a speed-up nearly proportional to the number of processors. On large-scale matrix completion tasks, Jellyfish is orders of magnitude more efficient than existing codes. For example, on the Netflix Prize data set, prior art computes rating predictions in approximately 4 h, while Jellyfish solves the same problem in under 3 min on a 12 core workstation.
---
paper_title: Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

paper_content:

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.
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paper_title: Spectral regularization algorithms for learning large incomplete matrices

paper_content:

We use convex relaxation techniques to provide a sequence of regularized low-rank solutions for large-scale matrix completion problems. Using the nuclear norm as a regularizer, we provide a simple and very efficient convex algorithm for minimizing the reconstruction error subject to a bound on the nuclear norm. Our algorithm SOFT-IMPUTE iteratively replaces the missing elements with those obtained from a soft-thresholded SVD. With warm starts this allows us to efficiently compute an entire regularization path of solutions on a grid of values of the regularization parameter. The computationally intensive part of our algorithm is in computing a low-rank SVD of a dense matrix. Exploiting the problem structure, we show that the task can be performed with a complexity of order linear in the matrix dimensions. Our semidefinite-programming algorithm is readily scalable to large matrices; for example SOFT-IMPUTE takes a few hours to compute low-rank approximations of a 106 X 106 incomplete matrix with 107 observed entries, and fits a rank-95 approximation to the full Netflix training set in 3.3 hours. Our methods achieve good training and test errors and exhibit superior timings when compared to other competitive state-of-the-art techniques.
---
paper_title: Normalized Iterative Hard Thresholding for Matrix Completion

paper_content:

Matrices of low rank can be uniquely determined from fewer linear measurements, or entries, than the total number of entries in the matrix. Moreover, there is a growing literature of computationally efficient algorithms which can recover a low rank matrix from such limited information; this process is typically referred to as matrix completion. We introduce a particularly simple yet highly efficient alternating projection algorithm which uses an adaptive stepsize calculated to be exact for a restricted subspace. This method is proven to have near-optimal order recovery guarantees from dense measurement masks and is observed to have average case performance superior in some respects to other matrix completion algorithms for both dense measurement masks and entry measurements. In particular, this proposed algorithm is able to recover matrices from extremely close to the minimum number of measurements necessary.
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paper_title: Low Rank Matrix Approximation Using The Lanczos Bidiagonalization Process With Applications

paper_content:

Low-rank approximation of large and/or sparse matrices is important in many applications, and the singular value decomposition (SVD) gives the best low-rank approximations with respect to unitarily-invariant norms. In this paper we show that good low-rank approximations can be directly obtained from the Lanczos bidiagonalization process applied to the given matrix without computing any SVD. We also demonstrate that a so-called one-sided reorthogonalization process can be used to maintain an adequate level of orthogonality among the Lanczos vectors and produce accurate low-rank approximations. This technique reduces the computational cost of the Lanczos bidiagonalization process. We illustrate the efficiency and applicability of our algorithm using numerical examples from several applications areas.
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paper_title: Guaranteed Rank Minimization via Singular Value Projection

paper_content:

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 under affine constraints (ARMP) and show that SVP recovers the minimum rank solution for affine constraints that satisfy a restricted isometry property (RIP). Our method guarantees geometric convergence rate even in the presence of noise and requires strictly weaker assumptions on the RIP constants than the existing methods. We also introduce a Newton-step for our SVP framework to speed-up the convergence with substantial empirical gains. Next, we address a practically important application of ARMP - the problem of low-rank matrix completion, for which the defining affine constraints do not directly obey RIP, hence the guarantees of SVP do not hold. However, we provide partial progress towards a proof of exact recovery for our algorithm by showing a more restricted isometry property and observe empirically that our algorithm recovers low-rank incoherent matrices from an almost optimal number of uniformly sampled entries. We also demonstrate empirically that our algorithms outperform existing methods, such as those of [5, 18, 14], for ARMP and the matrix completion problem by an order of magnitude and are also more robust to noise and sampling schemes. In particular, results show that our SVP-Newton method is significantly robust to noise and performs impressively on a more realistic power-law sampling scheme for the matrix completion problem.
---
paper_title: Dropping Convexity for Faster Semi-definite Optimization

paper_content:

We study the minimization of a convex function $f(X)$ over the set of $n\times n$ positive semi-definite matrices, but when the problem is recast as $\min_U g(U) := f(UU^\top)$, with $U \in \mathbb{R}^{n \times r}$ and $r \leq n$. We study the performance of gradient descent on $g$---which we refer to as Factored Gradient Descent (FGD)---under standard assumptions on the original function $f$. ::: We provide a rule for selecting the step size and, with this choice, show that the local convergence rate of FGD mirrors that of standard gradient descent on the original $f$: i.e., after $k$ steps, the error is $O(1/k)$ for smooth $f$, and exponentially small in $k$ when $f$ is (restricted) strongly convex. In addition, we provide a procedure to initialize FGD for (restricted) strongly convex objectives and when one only has access to $f$ via a first-order oracle; for several problem instances, such proper initialization leads to global convergence guarantees. ::: FGD and similar procedures are widely used in practice for problems that can be posed as matrix factorization. To the best of our knowledge, this is the first paper to provide precise convergence rate guarantees for general convex functions under standard convex assumptions.
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paper_title: Sparse Principal Component Analysis

paper_content:

Principal component analysis (PCA) is widely used in data processing and dimensionality reduction. However, PCA suffers from the fact that each principal component is a linear combination of all the original variables, thus it is often difficult to interpret the results. We introduce a new method called sparse principal component analysis (SPCA) using the lasso (elastic net) to produce modified principal components with sparse loadings. We first show that PCA can be formulated as a regression-type optimization problem; sparse loadings are then obtained by imposing the lasso (elastic net) constraint on the regression coefficients. Efficient algorithms are proposed to fit our SPCA models for both regular multivariate data and gene expression arrays. We also give a new formula to compute the total variance of modified principal components. As illustrations, SPCA is applied to real and simulated data with encouraging results.
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paper_title: A Probabilistic Framework for the Adaptation and Comparison of Image Codes

paper_content:

We apply a Bayesian method for inferring an optimal basis to the problem of finding efficient image codes for natural scenes. The basis functions learned by the algorithm are oriented and localized in both space and frequency, bearing a resemblance to two-dimensional Gabor functions, and increasing the number of basis functions results in a greater sampling density in position, orientation, and scale. These properties also resemble the spatial receptive fields of neurons in the primary visual cortex of mammals, suggesting that the receptive-field structure of these neurons can be accounted for by a general efficient coding principle. The probabilistic framework provides a method for comparing the coding efficiency of different bases objectively by calculating their probability given the observed data or by measuring the entropy of the basis function coefficients. The learned bases are shown to have better coding efficiency than traditional Fourier and wavelet bases. This framework also provides a Bayesian solution to the problems of image denoising and filling in of missing pixels. We demonstrate that the results obtained by applying the learned bases to these problems are improved over those obtained with traditional techniques.
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paper_title: Low-rank matrix completion using alternating minimization

paper_content:

Alternating minimization represents a widely applicable and empirically successful approach for finding low-rank matrices that best fit the given data. For example, for the problem of low-rank matrix completion, this method is believed to be one of the most accurate and efficient, and formed a major component of the winning entry in the Netflix Challenge. In the alternating minimization approach, the low-rank target matrix is written in a bi-linear form, i.e. $X = UV^\dag$; the algorithm then alternates between finding the best $U$ and the best $V$. Typically, each alternating step in isolation is convex and tractable. However the overall problem becomes non-convex and there has been almost no theoretical understanding of when this approach yields a good result. In this paper we present first theoretical analysis of the performance of alternating minimization for matrix completion, and the related problem of matrix sensing. For both these problems, celebrated recent results have shown that they become well-posed and tractable once certain (now standard) conditions are imposed on the problem. We show that alternating minimization also succeeds under similar conditions. Moreover, compared to existing results, our paper shows that alternating minimization guarantees faster (in particular, geometric) convergence to the true matrix, while allowing a simpler analysis.
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paper_title: Learning Sparsely Used Overcomplete Dictionaries

paper_content:

We consider the problem of learning sparsely used overcomplete dictionaries, where each observation is a sparse combination of elements from an unknown overcomplete dictionary. We establish exact recovery when the dictionary elements are mutually incoherent. Our method consists of a clustering-based initialization step, which provides an a pproximate estimate of the true dictionary with guaranteed accuracy. This estimate is then refined via a n iterative algorithm with the following alternating steps: 1) estimation of the dictionary coef ficients for each observation through `1 minimization, given the dictionary estimate, and 2) estimation of the dictionary elements through least squares, given the coefficient estimates. We establis h that, under a set of sufficient conditions, our method converges at a linear rate to the true dictionary as well as the true coefficients for each observation.
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paper_title: Near Optimal Compressed Sensing of Sparse Rank-One Matrices via Sparse Power Factorization

paper_content:

Compressed sensing of simultaneously sparse and rank-one matrices enables recovery of sparse signals from a few linear measurements of their bilinear form. One important question is how many measurements are needed for a stable reconstruction in the presence of measurement noise. Unlike the conventional compressed sensing for sparse vectors, where convex relaxation via the $\ell_1$-norm achieves near optimal performance, for compressed sensing of sparse and rank-one matrices, recently it has been shown by Oymak et al. that convex programmings using the nuclear norm and the mixed norm are highly suboptimal even in the noise-free scenario. ::: We propose an alternating minimization algorithm called sparse power factorization (SPF) for compressed sensing of sparse rank-one matrices. Starting from a particular initialization, SPF achieves stable recovery and requires number of measurements within a logarithmic factor of the information-theoretic fundamental limit. For fast-decaying sparse signals, SPF starting from an initialization with low computational cost also achieves stable reconstruction with the same number of measurements. Numerical results show that SPF empirically outperforms the best known combinations of mixed norm and nuclear norm.
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paper_title: Low-rank Solutions of Linear Matrix Equations via Procrustes Flow

paper_content:

In this paper we study the problem of recovering a low-rank matrix from linear measurements. Our algorithm, which we call Procrustes Flow, starts from an initial estimate obtained by a thresholding scheme followed by gradient descent on a non-convex objective. We show that as long as the measurements obey a standard restricted isometry property, our algorithm converges to the unknown matrix at a geometric rate. In the case of Gaussian measurements, such convergence occurs for a $n_1 \times n_2$ matrix of rank $r$ when the number of measurements exceeds a constant times $(n_1+n_2)r$.
---
paper_title: Parallel stochastic gradient algorithms for large-scale matrix completion

paper_content:

This paper develops Jellyfish, an algorithm for solving data-processing problems with matrix-valued decision variables regularized to have low rank. Particular examples of problems solvable by Jellyfish include matrix completion problems and least-squares problems regularized by the nuclear norm or \(\gamma _2\)-norm. Jellyfish implements a projected incremental gradient method with a biased, random ordering of the increments. This biased ordering allows for a parallel implementation that admits a speed-up nearly proportional to the number of processors. On large-scale matrix completion tasks, Jellyfish is orders of magnitude more efficient than existing codes. For example, on the Netflix Prize data set, prior art computes rating predictions in approximately 4 h, while Jellyfish solves the same problem in under 3 min on a 12 core workstation.
---
paper_title: Rank-Constrained Solutions to Linear Matrix Equations Using PowerFactorization

paper_content:

Algorithms to construct/recover low-rank matrices satisfying a set of linear equality constraints have important applications in many signal processing contexts. Recently, theoretical guarantees for minimum-rank matrix recovery have been proven for nuclear norm minimization (NNM), which can be solved using standard convex optimization approaches. While nuclear norm minimization is effective, it can be computationally demanding. In this work, we explore the use of the PowerFactorization (PF) algorithm as a tool for rank-constrained matrix recovery. Empirical results indicate that incremented-rank PF is significantly more successful than NNM at recovering low-rank matrices, in addition to being faster.
---
paper_title: Efficient algorithms for collaborative filtering

paper_content:

Collaborative filtering is a novel statistical ::: technique to obtain useful information or to make predictions based ::: on data from multiple agents. A large number of such datasets are ::: naturally represented in matrix form. Typically, there exists a ::: matrix M from which we know a (typically sparse) subset of entries ::: M_ij for (i, j) in some set E. The problem then is to ::: predict/approximate the unseen entries. This framework of matrix ::: completion is extremely general and applications include ::: personalized recommendation systems, sensor positioning, link ::: prediction and so on. Low rank models have traditionally been used ::: to learn useful information from such datasets. Low-dimensional ::: representations simplify the description of the dataset and often ::: yield predictive powers. As an added benefit, it is easier to store ::: and retrieve low dimensional representations. Finally, many ::: computationally intensive operations such as matrix multiplication ::: and inversion are simplified with low dimensional representations. ::: Singular Value Decomposition (SVD) has traditionally been used to ::: find the lowdimensional representation of a fully revealed matrix. ::: There are numerous algorithms for computing the SVD of a matrix ::: including several parallel implementations and implementations for ::: sparse matrices. However, when the matrix is only partially ::: observed, we show that SVD techniques are sub-optimal. In this ::: work, we will develop algorithms to learn a low rank model from a ::: partially revealed matrix. These algorithms are computationally ::: efficient and highly parallelizable. We will show that the proposed ::: algorithms achieve a performance close to the fundamental limit in ::: a number of scenarios. Finally, the algorithms achieve ::: significantly better performance than the state-of-the-art ::: algorithms on many real collaborative filtering ::: datasets.
---
paper_title: A Simple Algorithm for Nuclear Norm Regularized Problems

paper_content:

Optimization problems with a nuclear norm regularization, such as e.g. low norm matrix factorizations, have seen many applications recently. We propose a new approximation algorithm building upon the recent sparse approximate SDP solver of (Hazan, 2008). The experimental efficiency of our method is demonstrated on large matrix completion problems such as the Netflix dataset. The algorithm comes with strong convergence guarantees, and can be interpreted as a first theoretically justified variant of Simon-Funk-type SVD heuristics. The method is free of tuning parameters, and very easy to parallelize.
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paper_title: Coresets, sparse greedy approximation, and the Frank-Wolfe algorithm

paper_content:

The problem of maximizing a concave function f(x) in a simplex S can be solved approximately by a simple greedy algorithm. For given k, the algorithm can find a point x(k) on a k-dimensional face of S, such that f(x(k)) ≥ f(x*) - O(1/k). Here f(x*) is the maximum value of f in S. This algorithm and analysis were known before, and related to problems of statistics and machine learning, such as boosting, regression, and density mixture estimation. In other work, coming from computational geometry, the existence of e-coresets was shown for the minimum enclosing ball problem, by means of a simple greedy algorithm. Similar greedy algorithms, that are special cases of the Frank-Wolfe algorithm, were described for other enclosure problems. Here these results are tied together, stronger convergence results are reviewed, and several coreset bounds are generalized or strengthened.
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paper_title: Subspace Evolution and Transfer (SET) for Low-Rank Matrix Completion

paper_content:

We describe a new algorithm, termed subspace evolution and transfer (SET), for solving low-rank matrix completion problems. The algorithm takes as its input a subset of entries of a low-rank matrix, and outputs one low-rank matrix consistent with the given observations. The completion task is accomplished by searching for a column space on the Grassmann manifold that matches the incomplete observations. The SET algorithm consists of two parts -- subspace evolution and subspace transfer. In the evolution part, we use a gradient descent method on the Grassmann manifold to refine our estimate of the column space. Since the gradient descent algorithm is not guaranteed to converge, due to the existence of barriers along the search path, we design a new mechanism for detecting barriers and transferring the estimated column space across the barriers. This mechanism constitutes the core of the transfer step of the algorithm. The SET algorithm exhibits excellent empirical performance for both high and low sampling rate regimes.
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paper_title: Maximum-Margin Matrix Factorization

paper_content:

We present a novel approach to collaborative prediction, using low-norm instead of low-rank factorizations. The approach is inspired by, and has strong connections to, large-margin linear discrimination. We show how to learn low-norm factorizations by solving a semi-definite program, and discuss generalization error bounds for them.
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paper_title: Revisiting Frank-Wolfe: Projection-free sparse convex optimization

paper_content:

We provide stronger and more general primal-dual convergence results for Frank-Wolfe-type algorithms (a.k.a. conditional gradient) for constrained convex optimization, enabled by a simple framework of duality gap certificates. Our analysis also holds if the linear subproblems are only solved approximately (as well as if the gradients are inexact), and is proven to be worst-case optimal in the sparsity of the obtained solutions. ::: ::: On the application side, this allows us to unify a large variety of existing sparse greedy methods, in particular for optimization over convex hulls of an atomic set, even if those sets can only be approximated, including sparse (or structured sparse) vectors or matrices, low-rank matrices, permutation matrices, or max-norm bounded matrices. ::: ::: We present a new general framework for convex optimization over matrix factorizations, where every Frank-Wolfe iteration will consist of a low-rank update, and discuss the broad application areas of this approach.
---
paper_title: ADMiRA: Atomic Decomposition for Minimum Rank Approximation

paper_content:

We address the inverse problem that arises in compressed sensing of a low-rank matrix. Our approach is to pose the inverse problem as an approximation problem with a specified target rank of the solution. A simple search over the target rank then provides the minimum rank solution satisfying a prescribed data approximation bound. We propose an atomic decomposition that provides an analogy between parsimonious representations of a sparse vector and a low-rank matrix. Efficient greedy algorithms to solve the inverse problem for the vector case are extended to the matrix case through this atomic decomposition. In particular, we propose an efficient and guaranteed algorithm named ADMiRA that extends CoSaMP, its analogue for the vector case. The performance guarantee is given in terms of the rank-restricted isometry property and bounds both the number of iterations and the error in the approximate solution for the general case where the solution is approximately low-rank and the measurements are noisy. With a sparse measurement operator such as the one arising in the matrix completion problem, the computation in ADMiRA is linear in the number of measurements. The numerical experiments for the matrix completion problem show that, although the measurement operator in this case does not satisfy the rank-restricted isometry property, ADMiRA is a competitive algorithm for matrix completion.
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paper_title: Low-rank matrix recovery via iteratively reweighted least squares minimization

paper_content:

We present and analyze an efficient implementation of an iteratively reweighted least squares algorithm for recovering a matrix from a small number of linear measurements. The algorithm is designed for the simultaneous promotion of both a minimal nuclear norm and an approximatively low-rank solution. Under the assumption that the linear measurements fulfill a suitable generalization of the Null Space Property known in the context of compressed sensing, the algorithm is guaranteed to recover iteratively any matrix with an error of the order of the best k-rank approximation. In certain relevant cases, for instance for the matrix completion problem, our version of this algorithm can take advantage of the Woodbury matrix identity, which allows to expedite the solution of the least squares problems required at each iteration. We present numerical experiments that confirm the robustness of the algorithm for the solution of matrix completion problems, and demonstrate its competitiveness with respect to other techniques proposed recently in the literature.
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paper_title: Matrix Completion From a Few Entries

paper_content:

Let M be an n? × n matrix of rank r, and assume that a uniformly random subset E of its entries is observed. We describe an efficient algorithm, which we call OptSpace, that reconstructs M from |E| = O(rn) observed entries with relative root mean square error 1/2 RMSE ? C(?) (nr/|E|)1/2 with probability larger than 1 - 1/n3. Further, if r = O(1) and M is sufficiently unstructured, then OptSpace reconstructs it exactly from |E| = O(n log n) entries with probability larger than 1 - 1/n3. This settles (in the case of bounded rank) a question left open by Candes and Recht and improves over the guarantees for their reconstruction algorithm. The complexity of our algorithm is O(|E|r log n), which opens the way to its use for massive data sets. In the process of proving these statements, we obtain a generalization of a celebrated result by Friedman-Kahn-Szemeredi and Feige-Ofek on the spectrum of sparse random matrices.
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paper_title: Conjugate gradient acceleration of iteratively re-weighted least squares methods

paper_content:

Iteratively re-weighted least squares (IRLS) is a method for solving minimization problems involving non-quadratic cost functions, perhaps non-convex and non-smooth, which however can be described as the infimum over a family of quadratic functions. This transformation suggests an algorithmic scheme that solves a sequence of quadratic problems to be tackled efficiently by tools of numerical linear algebra. Its general scope and its usually simple implementation, transforming the initial non-convex and non-smooth minimization problem into a more familiar and easily solvable quadratic optimization problem, make it a versatile algorithm. However, despite its simplicity, versatility, and elegant analysis, the complexity of IRLS strongly depends on the way the solution of the successive quadratic optimizations is addressed. For the important special case of compressed sensing and sparse recovery problems in signal processing, we investigate theoretically and numerically how accurately one needs to solve the quadratic problems by means of the conjugate gradient (CG) method in each iteration in order to guarantee convergence. The use of the CG method may significantly speed-up the numerical solution of the quadratic subproblems, in particular, when fast matrix-vector multiplication (exploiting for instance the FFT) is available for the matrix involved. In addition, we study convergence rates. Our modified IRLS method outperforms state of the art first order methods such as Iterative Hard Thresholding (IHT) or Fast Iterative Soft-Thresholding Algorithm (FISTA) in many situations, especially in large dimensions. Moreover, IRLS is often able to recover sparse vectors from fewer measurements than required for IHT and FISTA.
---
paper_title: Iterative reweighted algorithms for matrix rank minimization

paper_content:

The problem of minimizing the rank of a matrix subject to affine constraints has applications in several areas including machine learning, and is known to be NP-hard. A tractable relaxation for this problem is nuclear norm (or trace norm) minimization, which is guaranteed to find the minimum rank matrix under suitable assumptions. In this paper, we propose a family of Iterative Reweighted Least Squares algorithms IRLS-p (with 0 ≤ p ≤ 1), as a computationally efficient way to improve over the performance of nuclear norm minimization. The algorithms can be viewed as (locally) minimizing certain smooth approximations to the rank function. When p = 1, we give theoretical guarantees similar to those for nuclear norm minimization, that is, recovery of low-rank matrices under certain assumptions on the operator defining the constraints. For p < 1, IRLS-p shows better empirical performance in terms of recovering low-rank matrices than nuclear norm minimization. We provide an efficient implementation for IRLS-p, and also present a related family of algorithms, sIRLS-p. These algorithms exhibit competitive run times and improved recovery when compared to existing algorithms for random instances of the matrix completion problem, as well as on the MovieLens movie recommendation data set.
---
paper_title: Parallel stochastic gradient algorithms for large-scale matrix completion

paper_content:

This paper develops Jellyfish, an algorithm for solving data-processing problems with matrix-valued decision variables regularized to have low rank. Particular examples of problems solvable by Jellyfish include matrix completion problems and least-squares problems regularized by the nuclear norm or \(\gamma _2\)-norm. Jellyfish implements a projected incremental gradient method with a biased, random ordering of the increments. This biased ordering allows for a parallel implementation that admits a speed-up nearly proportional to the number of processors. On large-scale matrix completion tasks, Jellyfish is orders of magnitude more efficient than existing codes. For example, on the Netflix Prize data set, prior art computes rating predictions in approximately 4 h, while Jellyfish solves the same problem in under 3 min on a 12 core workstation.
---
paper_title: Rank, trace-norm and max-norm

paper_content:

We study the rank, trace-norm and max-norm as complexity measures of matrices, focusing on the problem of fitting a matrix with matrices having low complexity. We present generalization error bounds for predicting unobserved entries that are based on these measures. We also consider the possible relations between these measures. We show gaps between them, and bounds on the extent of such gaps.
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paper_title: Log-det heuristic for matrix rank minimization with applications to Hankel and Euclidean distance matrices

paper_content:

We present a heuristic for minimizing the rank of a positive semidefinite matrix over a convex set. We use the logarithm of the determinant as a smooth approximation for rank, and locally minimize this function to obtain a sequence of trace minimization problems. We then present a lemma that relates the rank of any general matrix to that of a corresponding positive semidefinite one. Using this, we readily extend the proposed heuristic to handle general matrices. We examine the vector case as a special case, where the heuristic reduces to an iterative l/sub 1/-norm minimization technique. As practical applications of the rank minimization problem and our heuristic, we consider two examples: minimum-order system realization with time-domain constraints, and finding lowest-dimension embedding of points in a Euclidean space from noisy distance data.
---
paper_title: Tight Oracle Inequalities for Low-Rank Matrix Recovery From a Minimal Number of Noisy Random Measurements

paper_content:

This paper presents several novel theoretical results regarding the recovery of a low-rank matrix from just a few measurements consisting of linear combinations of the matrix entries. We show that properly constrained nuclear-norm minimization stably recovers a low-rank matrix from a constant number of noisy measurements per degree of freedom; this seems to be the first result of this nature. Further, with high probability, the recovery error from noisy data is within a constant of three targets: (1) the minimax risk, (2) an “oracle” error that would be available if the column space of the matrix were known, and (3) a more adaptive “oracle” error which would be available with the knowledge of the column space corresponding to the part of the matrix that stands above the noise. Lastly, the error bounds regarding low-rank matrices are extended to provide an error bound when the matrix has full rank with decaying singular values. The analysis in this paper is based on the restricted isometry property (RIP).
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paper_title: Introduction to the non-asymptotic analysis of random matrices

paper_content:

This is a tutorial on some basic non-asymptotic methods and concepts in random matrix theory. The reader will learn several tools for the analysis of the extreme singular values of random matrices with independent rows or columns. Many of these methods sprung off from the development of geometric functional analysis since the 1970's. They have applications in several fields, most notably in theoretical computer science, statistics and signal processing. A few basic applications are covered in this text, particularly for the problem of estimating covariance matrices in statistics and for validating probabilistic constructions of measurement matrices in compressed sensing. These notes are written particularly for graduate students and beginning researchers in different areas, including functional analysts, probabilists, theoretical statisticians, electrical engineers, and theoretical computer scientists.
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paper_title: Semidefinite programming based algorithms for sensor network localization

paper_content:

An SDP relaxation based method is developed to solve the localization problem in sensor networks using incomplete and inaccurate distance information. The problem is set up to find a set of sensor positions such that given distance constraints are satisfied. The nonconvex constraints in the formulation are then relaxed in order to yield a semidefinite program that can be solved efficiently.The basic model is extended in order to account for noisy distance information. In particular, a maximum likelihood based formulation and an interval based formulation are discussed. The SDP solution can then also be used as a starting point for steepest descent based local optimization techniques that can further refine the SDP solution.We also describe the extension of the basic method to develop an iterative distributed SDP method for solving very large scale semidefinite programs that arise out of localization problems for large dense networks and are intractable using centralized methods.The performance evaluation of the technique with regard to estimation accuracy and computation time is also presented by the means of extensive simulations.Our SDP scheme also seems to be applicable to solving other Euclidean geometry problems where points are locally connected.
---
paper_title: Learning Sparsely Used Overcomplete Dictionaries

paper_content:

We consider the problem of learning sparsely used overcomplete dictionaries, where each observation is a sparse combination of elements from an unknown overcomplete dictionary. We establish exact recovery when the dictionary elements are mutually incoherent. Our method consists of a clustering-based initialization step, which provides an a pproximate estimate of the true dictionary with guaranteed accuracy. This estimate is then refined via a n iterative algorithm with the following alternating steps: 1) estimation of the dictionary coef ficients for each observation through `1 minimization, given the dictionary estimate, and 2) estimation of the dictionary elements through least squares, given the coefficient estimates. We establis h that, under a set of sufficient conditions, our method converges at a linear rate to the true dictionary as well as the true coefficients for each observation.
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paper_title: Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

paper_content:

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.
---
paper_title: Tight Oracle Inequalities for Low-Rank Matrix Recovery From a Minimal Number of Noisy Random Measurements

paper_content:

This paper presents several novel theoretical results regarding the recovery of a low-rank matrix from just a few measurements consisting of linear combinations of the matrix entries. We show that properly constrained nuclear-norm minimization stably recovers a low-rank matrix from a constant number of noisy measurements per degree of freedom; this seems to be the first result of this nature. Further, with high probability, the recovery error from noisy data is within a constant of three targets: (1) the minimax risk, (2) an “oracle” error that would be available if the column space of the matrix were known, and (3) a more adaptive “oracle” error which would be available with the knowledge of the column space corresponding to the part of the matrix that stands above the noise. Lastly, the error bounds regarding low-rank matrices are extended to provide an error bound when the matrix has full rank with decaying singular values. The analysis in this paper is based on the restricted isometry property (RIP).
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paper_title: Normalized Iterative Hard Thresholding for Matrix Completion

paper_content:

Matrices of low rank can be uniquely determined from fewer linear measurements, or entries, than the total number of entries in the matrix. Moreover, there is a growing literature of computationally efficient algorithms which can recover a low rank matrix from such limited information; this process is typically referred to as matrix completion. We introduce a particularly simple yet highly efficient alternating projection algorithm which uses an adaptive stepsize calculated to be exact for a restricted subspace. This method is proven to have near-optimal order recovery guarantees from dense measurement masks and is observed to have average case performance superior in some respects to other matrix completion algorithms for both dense measurement masks and entry measurements. In particular, this proposed algorithm is able to recover matrices from extremely close to the minimum number of measurements necessary.
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paper_title: Adaptive estimation of a quadratic functional by model selection

paper_content:

We consider the problem of estimating ∥s∥ 2 when s belongs to some separable Hilbert space and one observes the Gaussian process Y(t) = (s, t) + σ L(t), for all t ∈ H, where L is some Gaussian isonormal process. This framework allows us in particular to consider the classical Gaussian sequence model for which H = l 2 (N * ) and L(t) = Σ λ≥1 t λ e λ , where (e λ ) λ≥1 is a sequence of i.i.d. standard normal variables. Our approach consists in considering some at most countable families of finite-dimensional linear subspaces of H (the models) and then using model selection via some conveniently penalized least squares criterion to build new estimators of ∥s∥ 2 . We prove a general nonasymptotic risk bound which allows us to show that such penalized estimators are adaptive on a variety of collections of sets for the parameter s, depending on the family of models from which they are built. In particular, in the context of the Gaussian sequence model, a convenient choice of the family of models allows defining estimators which are adaptive over collections of hyperrectangles, ellipsoids, l p -bodies or Besov bodies. We take special care to describe the conditions under which the penalized estimator is efficient when the level of noise σ tends to zero. Our construction is an alternative to the one by Efroimovich and Low for hyperrectangles and provides new results otherwise.
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paper_title: Low-rank matrix completion using alternating minimization

paper_content:

Alternating minimization represents a widely applicable and empirically successful approach for finding low-rank matrices that best fit the given data. For example, for the problem of low-rank matrix completion, this method is believed to be one of the most accurate and efficient, and formed a major component of the winning entry in the Netflix Challenge. In the alternating minimization approach, the low-rank target matrix is written in a bi-linear form, i.e. $X = UV^\dag$; the algorithm then alternates between finding the best $U$ and the best $V$. Typically, each alternating step in isolation is convex and tractable. However the overall problem becomes non-convex and there has been almost no theoretical understanding of when this approach yields a good result. In this paper we present first theoretical analysis of the performance of alternating minimization for matrix completion, and the related problem of matrix sensing. For both these problems, celebrated recent results have shown that they become well-posed and tractable once certain (now standard) conditions are imposed on the problem. We show that alternating minimization also succeeds under similar conditions. Moreover, compared to existing results, our paper shows that alternating minimization guarantees faster (in particular, geometric) convergence to the true matrix, while allowing a simpler analysis.
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paper_title: Compressed Sensing and Affine Rank Minimization under Restricted Isometry

paper_content:

This paper establishes new restricted isometry conditions for compressed sensing and affine rank minimization. It is shown for compressed sensing that $\delta_{k}^A+\theta_{k,k}^A<1$ guarantees the exact recovery of all $k$ sparse signals in the noiseless case through the constrained $\ell_1$ minimization. Furthermore, the upper bound 1 is sharp in the sense that for any $\epsilon>0$, the condition $\delta_k^A + \theta_{k, k}^A<1+\epsilon$ is not sufficient to guarantee such exact recovery using any recovery method. Similarly, for affine rank minimization, if $\delta_{r}^\mathcal{M}+\theta_{r,r}^\mathcal{M}<1$ then all matrices with rank at most $r$ can be reconstructed exactly in the noiseless case via the constrained nuclear norm minimization; and for any $\epsilon>0$, $\delta_r^\mathcal{M} +\theta_{r,r}^\mathcal{M}<1+\epsilon$ does not ensure such exact recovery using any method. Moreover, in the noisy case the conditions $\delta_{k}^A+\theta_{k,k}^A<1$ and $\delta_{r}^\mathcal{M}+\theta_{r,r}^\mathcal{M}<1$ are also sufficient for the stable recovery of sparse signals and low-rank matrices respectively. Applications and extensions are also discussed.
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paper_title: Semidefinite programming based algorithms for sensor network localization

paper_content:

An SDP relaxation based method is developed to solve the localization problem in sensor networks using incomplete and inaccurate distance information. The problem is set up to find a set of sensor positions such that given distance constraints are satisfied. The nonconvex constraints in the formulation are then relaxed in order to yield a semidefinite program that can be solved efficiently.The basic model is extended in order to account for noisy distance information. In particular, a maximum likelihood based formulation and an interval based formulation are discussed. The SDP solution can then also be used as a starting point for steepest descent based local optimization techniques that can further refine the SDP solution.We also describe the extension of the basic method to develop an iterative distributed SDP method for solving very large scale semidefinite programs that arise out of localization problems for large dense networks and are intractable using centralized methods.The performance evaluation of the technique with regard to estimation accuracy and computation time is also presented by the means of extensive simulations.Our SDP scheme also seems to be applicable to solving other Euclidean geometry problems where points are locally connected.
---
paper_title: Guaranteed Rank Minimization via Singular Value Projection

paper_content:

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 under affine constraints (ARMP) and show that SVP recovers the minimum rank solution for affine constraints that satisfy a restricted isometry property (RIP). Our method guarantees geometric convergence rate even in the presence of noise and requires strictly weaker assumptions on the RIP constants than the existing methods. We also introduce a Newton-step for our SVP framework to speed-up the convergence with substantial empirical gains. Next, we address a practically important application of ARMP - the problem of low-rank matrix completion, for which the defining affine constraints do not directly obey RIP, hence the guarantees of SVP do not hold. However, we provide partial progress towards a proof of exact recovery for our algorithm by showing a more restricted isometry property and observe empirically that our algorithm recovers low-rank incoherent matrices from an almost optimal number of uniformly sampled entries. We also demonstrate empirically that our algorithms outperform existing methods, such as those of [5, 18, 14], for ARMP and the matrix completion problem by an order of magnitude and are also more robust to noise and sampling schemes. In particular, results show that our SVP-Newton method is significantly robust to noise and performs impressively on a more realistic power-law sampling scheme for the matrix completion problem.
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paper_title: Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

paper_content:

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.
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paper_title: A simplified approach to recovery conditions for low rank matrices

paper_content:

Recovering sparse vectors and low-rank matrices from noisy linear measurements has been the focus of much recent research. Various reconstruction algorithms have been studied, including l 1 and nuclear norm minimization as well as l p minimization with p < 1. These algorithms are known to succeed if certain conditions on the measurement map are satisfied. Proofs for the recovery of matrices have so far been much more involved than in the vector case. In this paper, we show how several classes of recovery conditions can be extended from vectors to matrices in a simple and transparent way, leading to the best known restricted isometry and nullspace conditions for matrix recovery. Our results rely on the ability to “vectorize” matrices through the use of a key singular value inequality.
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paper_title: On Milman's inequality and random subspaces which escape through a mesh in ℝ n

paper_content:

Let S be a subset in the Euclidean space ℝ n and 1 <- k < n. We find sufficient conditions which guarantee the existence and even with probability close to 1, of k-codimensional subspaces which miss S. As a consequence we derive a sharp form of Milman's inequality and discuss some applications to Banach spaces.
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paper_title: M.: A fast iterative shrinkage-thresholding algorithm for linear inverse problems

paper_content:

We consider the class of iterative shrinkage-thresholding algorithms (ISTA) for solving linear inverse problems arising in signal/image processing. This class of methods, which can be viewed as an extension of the classical gradient algorithm, is attractive due to its simplicity and thus is adequate for solving large-scale problems even with dense matrix data. However, such methods are also known to converge quite slowly. In this paper we present a new fast iterative shrinkage-thresholding algorithm (FISTA) which preserves the computational simplicity of ISTA but with a global rate of convergence which is proven to be significantly better, both theoretically and practically. Initial promising numerical results for wavelet-based image deblurring demonstrate the capabilities of FISTA which is shown to be faster than ISTA by several orders of magnitude.
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paper_title: Tight recovery thresholds and robustness analysis for nuclear norm minimization

paper_content:

Nuclear norm minimization (NNM) has recently gained significant attention for its use in rank minimization problems. Using null space characterizations, recovery thresholds for NNM have been previously studied for the case of Gaussian measurements as matrix dimensions tend to infinity. However simulations show that the thresholds are far from optimal, especially in the low rank region. In this paper we apply the recent analysis of Stojnic for l 1 -minimization to the null space conditions of NNM. The results are significantly better and in particular our weak threshold appears to match with simulation results. Further, our closed form bounds suggest for any rank growing linearly with matrix size n one needs only three times of oversampling (the model complexity) for weak recovery and eight times for strong recovery. Additionally, the results for robustness analysis are given which indicate with slightly more measurements recovery guarantees for approximately low rank matrices can be given.
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paper_title: The Convex Geometry of Linear Inverse Problems

paper_content:

In applications throughout science and engineering one is often faced with the challenge of solving an ill-posed inverse problem, where the number of available measurements is smaller than the dimension of the model to be estimated. However in many practical situations of interest, models are constrained structurally so that they only have a few degrees of freedom relative to their ambient dimension. This paper provides a general framework to convert notions of simplicity into convex penalty functions, resulting in convex optimization solutions to linear, underdetermined inverse problems. The class of simple models considered are those formed as the sum of a few atoms from some (possibly infinite) elementary atomic set; examples include well-studied cases such as sparse vectors and low-rank matrices, as well as several others including sums of a few permutations matrices, low-rank tensors, orthogonal matrices, and atomic measures. The convex programming formulation is based on minimizing the norm induced by the convex hull of the atomic set; this norm is referred to as the atomic norm. The facial structure of the atomic norm ball carries a number of favorable properties that are useful for recovering simple models, and an analysis of the underlying convex geometry provides sharp estimates of the number of generic measurements required for exact and robust recovery of models from partial information. These estimates are based on computing the Gaussian widths of tangent cones to the atomic norm ball. When the atomic set has algebraic structure the resulting optimization problems can be solved or approximated via semidefinite programming. The quality of these approximations affects the number of measurements required for recovery. Thus this work extends the catalog of simple models that can be recovered from limited linear information via tractable convex programming.
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paper_title: Exact Matrix Completion via Convex Optimization

paper_content:

We consider a problem of considerable practical interest: the recovery of a data matrix from a sampling of its entries. Suppose that we observe m entries selected uniformly at random from a matrix M. Can we complete the matrix and recover the entries that we have not seen? ::: ::: We show that one can perfectly recover most low-rank matrices from what appears to be an incomplete set of entries. We prove that if the number m of sampled entries obeys $$m\ge C\,n^{1.2}r\log n$$ for some positive numerical constant C, then with very high probability, most n×n matrices of rank r can be perfectly recovered by solving a simple convex optimization program. This program finds the matrix with minimum nuclear norm that fits the data. The condition above assumes that the rank is not too large. However, if one replaces the 1.2 exponent with 1.25, then the result holds for all values of the rank. Similar results hold for arbitrary rectangular matrices as well. Our results are connected with the recent literature on compressed sensing, and show that objects other than signals and images can be perfectly reconstructed from very limited information.
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paper_title: Rank penalized estimators for high-dimensional matrices

paper_content:

In this paper we consider the trace regression model. Assume that we observe a small set of entries or linear combinations of entries of an unknown matrix $A_0$ corrupted by noise. We propose a new rank penalized estimator of $A_0$. For this estimator we establish general oracle inequality for the prediction error both in probability and in expectation. We also prove upper bounds for the rank of our estimator. Then, we apply our general results to the problems of matrix completion and matrix regression. In these cases our estimator has a particularly simple form: it is obtained by hard thresholding of the singular values of a matrix constructed from the observations.
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paper_title: Estimation of high-dimensional low-rank matrices

paper_content:

Suppose that we observe entries or, more generally, linear combinations of entries of an unknown m x T-matrix A corrupted by noise. We are particularly interested in the high-dimensional setting where the number mT of unknown entries can be much larger than the sample size N. Motivated by several applications, we consider estimation of matrix A under the assumption that it has small rank. This can be viewed as dimension reduction or sparsity assumption. In order to shrink toward a low-rank representation, we investigate penalized least squares estimators with a Schatten-p quasi-norm penalty term, p ≤ 1. We study these estimators under two possible assumptions—a modified version of the restricted isometry condition and a uniform bound on the ratio "empirical norm induced by the sampling operator/Frobenius norm." The main results are stated as nonasymptotic upper bounds on the prediction risk and on the Schatten-q risk of the estimators, where q ∈ [p, 2]. The rates that we obtain for the prediction risk are of the form rm/N (for m = T), up to logarithmic factors, where r is the rank of A. The particular examples of multi-task learning and matrix completion are worked out in detail. The proofs are based on tools from the theory of empirical processes. As a by-product, we derive bounds for the kth entropy numbers of the quasi-convex Schatten class embeddings S M p → S M 2 , p < 1, which are of independent interest.
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paper_title: Restricted strong convexity and weighted matrix completion: Optimal bounds with noise

paper_content:

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 $M$-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 $\ell_q$-"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.
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paper_title: Understanding Alternating Minimization for Matrix Completion

paper_content:

Alternating Minimization is a widely used and empirically successful heuristic for matrix completion and related low-rank optimization problems. Theoretical guarantees for Alternating Minimization have been hard to come by and are still poorly understood. This is in part because the heuristic is iterative and non-convex in nature. We give a new algorithm based on Alternating Minimization that provably recovers an unknown low-rank matrix from a random subsample of its entries under a standard incoherence assumption. Our results reduce the sample size requirements of the Alternating Minimization approach by at least a quartic factor in the rank and the condition number of the unknown matrix. These improvements apply even if the matrix is only close to low-rank in the Frobenius norm. Our algorithm runs in nearly linear time in the dimension of the matrix and, in a broad range of parameters, gives the strongest sample bounds among all subquadratic time algorithms that we are aware of. Underlying our work is a new robust convergence analysis of the well-known Power Method for computing the dominant singular vectors of a matrix. This viewpoint leads to a conceptually simple understanding of Alternating Minimization. In addition, we contribute a new technique for controlling the coherence of intermediate solutions arising in iterative algorithms based on a smoothed analysis of the QR factorization. These techniques may be of interest beyond their application here.
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paper_title: The Power of Convex Relaxation: Near-Optimal Matrix Completion

paper_content:

This paper is concerned with the problem of recovering an unknown matrix from a small fraction of its entries. This is known as the matrix completion problem, and comes up in a great number of applications, including the famous Netflix Prize and other similar questions in collaborative filtering. In general, accurate recovery of a matrix from a small number of entries is impossible; but the knowledge that the unknown matrix has low rank radically changes this premise, making the search for solutions meaningful. ::: This paper presents optimality results quantifying the minimum number of entries needed to recover a matrix of rank r exactly by any method whatsoever (the information theoretic limit). More importantly, the paper shows that, under certain incoherence assumptions on the singular vectors of the matrix, recovery is possible by solving a convenient convex program as soon as the number of entries is on the order of the information theoretic limit (up to logarithmic factors). This convex program simply finds, among all matrices consistent with the observed entries, that with minimum nuclear norm. As an example, we show that on the order of nr log(n) samples are needed to recover a random n x n matrix of rank r by any method, and to be sure, nuclear norm minimization succeeds as soon as the number of entries is of the form nr polylog(n).
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paper_title: Blind Deconvolution Using Convex Programming

paper_content:

We consider the problem of recovering two unknown vectors, $\w$ and $\x$, of length $L$ from their circular convolution. We make the structural assumption that the two vectors are members of known subspaces, one with dimension $N$ and the other with dimension $K$. Although the observed convolution is nonlinear in both $\w$ and $\x$, it is linear in the rank-1 matrix formed by their outer product $\w\x^*$. This observation allows us to recast the deconvolution problem as low-rank matrix recovery problem from linear measurements, whose natural convex relaxation is a nuclear norm minimization program. We prove the effectiveness of this relaxation by showing that for"generic"signals, the program can deconvolve $\w$ and $\x$ exactly when the maximum of $N$ and $K$ is almost on the order of $L$. That is, we show that if $\x$ is drawn from a random subspace of dimension $N$, and $\w$ is a vector in a subspace of dimension $K$ whose basis vectors are"spread out"in the frequency domain, then nuclear norm minimization recovers $\w\x^*$ without error. We discuss this result in the context of blind channel estimation in communications. If we have a message of length $N$ which we code using a random $L\times N$ coding matrix, and the encoded message travels through an unknown linear time-invariant channel of maximum length $K$, then the receiver can recover both the channel response and the message when $L\gtrsim N+K$, to within constant and log factors.
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paper_title: Matrix Completion from Noisy Entries

paper_content:

Given a matrix M of low-rank, we consider the problem of reconstructing it from noisy observations of a small, random subset of its entries. The problem arises in a variety of applications, from collaborative filtering (the 'Netflix problem') to structure-from-motion and positioning. We study a low complexity algorithm introduced in [1], based on a combination of spectral techniques and manifold optimization, that we call here OPTSPACE. We prove performance guarantees that are order-optimal in a number of circumstances.
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paper_title: Nuclear norm penalization and optimal rates for noisy low rank matrix completion

paper_content:

This paper deals with the trace regression model where n entries or linear combinations of entries of an unknown m1×m2 matrix A0 corrupted by noise are observed. We propose a new nuclear norm penalized estimator of A0 and establish a general sharp oracle inequality for this estimator for arbitrary values of n,m1,m2 under the condition of isometry in expectation. Then this method is applied to the matrix completion problem. In this case, the estimator admits a simple explicit form and we prove that it satisfies oracle inequalities with faster rates of convergence than in the previous works. They are valid, in particular, in the high-dimensional setting m1m2 ≫ n. We show that the obtained rates are optimal up to logarithmic factors in a minimax sense and also derive, for any fixed matrix A0, a non-minimax lower bound on the rate of convergence of our estimator, which coincides with the upper bound up to a constant factor. Finally, we show that our procedure provides an exact recovery of the rank of A0 with probability close to 1. We also discuss the statistical learning setting where there is no underlying model determined by A0 and the aim is to find the best trace regression model approximating the data.
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paper_title: Incoherence-Optimal Matrix Completion

paper_content:

This paper considers the matrix completion problem. We show that it is not necessary to assume joint incoherence, which is a standard but unintuitive and restrictive condition that is imposed by previous studies. This leads to a sample complexity bound that is order-wise optimal with respect to the incoherence parameter (as well as to the rank $r$ and the matrix dimension $n$ up to a log factor). As a consequence, we improve the sample complexity of recovering a semidefinite matrix from $O(nr^{2}\log^{2}n)$ to $O(nr\log^{2}n)$, and the highest allowable rank from $\Theta(\sqrt{n}/\log n)$ to $\Theta(n/\log^{2}n)$. The key step in proof is to obtain new bounds on the $\ell_{\infty,2}$-norm, defined as the maximum of the row and column norms of a matrix. To illustrate the applicability of our techniques, we discuss extensions to SVD projection, structured matrix completion and semi-supervised clustering, for which we provide order-wise improvements over existing results. Finally, we turn to the closely-related problem of low-rank-plus-sparse matrix decomposition. We show that the joint incoherence condition is unavoidable here for polynomial-time algorithms conditioned on the Planted Clique conjecture. This means it is intractable in general to separate a rank-$\omega(\sqrt{n})$ positive semidefinite matrix and a sparse matrix. Interestingly, our results show that the standard and joint incoherence conditions are associated respectively with the information (statistical) and computational aspects of the matrix decomposition problem.
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paper_title: Recovering low-rank matrices from few coefficients in any basis

paper_content:

We present novel techniques for analyzing the problem of low-rank matrix recovery. The methods are both considerably simpler and more general than previous approaches. It is shown that an unknown matrix of rank can be efficiently reconstructed from only randomly sampled expansion coefficients with respect to any given matrix basis. The number quantifies the “degree of incoherence” between the unknown matrix and the basis. Existing work concentrated mostly on the problem of “matrix completion” where one aims to recover a low-rank matrix from randomly selected matrix elements. Our result covers this situation as a special case. The proof consists of a series of relatively elementary steps, which stands in contrast to the highly involved methods previously employed to obtain comparable results. In cases where bounds had been known before, our estimates are slightly tighter. We discuss operator bases which are incoherent to all low-rank matrices simultaneously. For these bases, we show that randomly sampled expansion coefficients suffice to recover any low-rank matrix with high probability. The latter bound is tight up to multiplicative constants.
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paper_title: Strong converse for identification via quantum channels

paper_content:

In this paper we present a simple proof of the strong converse for identification via discrete memoryless quantum channels, based on a novel covering lemma. The new method is a generalization to quantum communication channels of Ahlswede's recently discovered appoach to classical channels. It involves a development of explicit large deviation estimates to the case of random variables taking values in selfadjoint operators on a Hilbert space. This theory is presented separately in an appendix, and we illustrate it by showing its application to quantum generalizations of classical hypergraph covering problems.
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paper_title: Low-rank matrix completion using alternating minimization

paper_content:

Alternating minimization represents a widely applicable and empirically successful approach for finding low-rank matrices that best fit the given data. For example, for the problem of low-rank matrix completion, this method is believed to be one of the most accurate and efficient, and formed a major component of the winning entry in the Netflix Challenge. In the alternating minimization approach, the low-rank target matrix is written in a bi-linear form, i.e. $X = UV^\dag$; the algorithm then alternates between finding the best $U$ and the best $V$. Typically, each alternating step in isolation is convex and tractable. However the overall problem becomes non-convex and there has been almost no theoretical understanding of when this approach yields a good result. In this paper we present first theoretical analysis of the performance of alternating minimization for matrix completion, and the related problem of matrix sensing. For both these problems, celebrated recent results have shown that they become well-posed and tractable once certain (now standard) conditions are imposed on the problem. We show that alternating minimization also succeeds under similar conditions. Moreover, compared to existing results, our paper shows that alternating minimization guarantees faster (in particular, geometric) convergence to the true matrix, while allowing a simpler analysis.
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paper_title: A Simpler Approach to Matrix Completion

paper_content:

This paper provides the best bounds to date on the number of randomly sampled entries required to reconstruct an unknown low rank matrix. These results improve on prior work by Candes and Recht, Candes and Tao, and Keshavan, Montanari, and Oh. The reconstruction is accomplished by minimizing the nuclear norm, or sum of the singular values, of the hidden matrix subject to agreement with the provided entries. If the underlying matrix satisfies a certain incoherence condition, then the number of entries required is equal to a quadratic logarithmic factor times the number of parameters in the singular value decomposition. The proof of this assertion is short, self contained, and uses very elementary analysis. The novel techniques herein are based on recent work in quantum information theory.
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paper_title: Semidefinite programming based algorithms for sensor network localization

paper_content:

An SDP relaxation based method is developed to solve the localization problem in sensor networks using incomplete and inaccurate distance information. The problem is set up to find a set of sensor positions such that given distance constraints are satisfied. The nonconvex constraints in the formulation are then relaxed in order to yield a semidefinite program that can be solved efficiently.The basic model is extended in order to account for noisy distance information. In particular, a maximum likelihood based formulation and an interval based formulation are discussed. The SDP solution can then also be used as a starting point for steepest descent based local optimization techniques that can further refine the SDP solution.We also describe the extension of the basic method to develop an iterative distributed SDP method for solving very large scale semidefinite programs that arise out of localization problems for large dense networks and are intractable using centralized methods.The performance evaluation of the technique with regard to estimation accuracy and computation time is also presented by the means of extensive simulations.Our SDP scheme also seems to be applicable to solving other Euclidean geometry problems where points are locally connected.
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paper_title: Matrix Completion From a Few Entries

paper_content:

Let M be an n? × n matrix of rank r, and assume that a uniformly random subset E of its entries is observed. We describe an efficient algorithm, which we call OptSpace, that reconstructs M from |E| = O(rn) observed entries with relative root mean square error 1/2 RMSE ? C(?) (nr/|E|)1/2 with probability larger than 1 - 1/n3. Further, if r = O(1) and M is sufficiently unstructured, then OptSpace reconstructs it exactly from |E| = O(n log n) entries with probability larger than 1 - 1/n3. This settles (in the case of bounded rank) a question left open by Candes and Recht and improves over the guarantees for their reconstruction algorithm. The complexity of our algorithm is O(|E|r log n), which opens the way to its use for massive data sets. In the process of proving these statements, we obtain a generalization of a celebrated result by Friedman-Kahn-Szemeredi and Feige-Ofek on the spectrum of sparse random matrices.
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paper_title: Von Neumann Entropy Penalization and Low Rank Matrix Estimation

paper_content:

We study a problem of estimation of a Hermitian nonnegatively definite matrix of unit trace (for instance, a density matrix of a quantum system) based on n i.i.d. measurements (X1,Y1),...,(Xn,Yn), where
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paper_title: Sharp Oracle Inequalities for High-Dimensional Matrix Prediction

paper_content:

We observe (Xi,Yi)i=1n where the Yi's are real valued outputs and the Xi's are m × T matrices. We observe a new entry X and we want to predict the output Y associated with it. We focus on the high-dimensional setting, where mT ≫ n. This includes the matrix completion problem with noise, as well as other problems. We consider linear prediction procedures based on different penalizations, involving a mixture of several norms: the nuclear norm, the Frobenius norm and the l1-norm. For these procedures, we prove sharp oracle inequalities, using a statistical learning theory point of view. A surprising fact in our results is that the rates of convergence do not depend on m and T directly. The analysis is conducted without the usually considered incoherency condition on the unknown matrix or restricted isometry condition on the sampling operator. Moreover, our results are the first to give for this problem an analysis of penalization (such as nuclear norm penalization) as a regularization algorithm: our oracle inequalities prove that these procedures have a prediction accuracy close to the deterministic oracle one, given that the reguralization parameters are well-chosen.
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paper_title: Fast matrix completion without the condition number

paper_content:

We give the first algorithm for Matrix Completion whose running time and sample complexity is polynomial in the rank of the unknown target matrix, linear in the dimension of the matrix, and logarithmic in the condition number of the matrix. To the best of our knowledge, all previous algorithms either incurred a quadratic dependence on the condition number of the unknown matrix or a quadratic dependence on the dimension of the matrix in the running time. Our algorithm is based on a novel extension of Alternating Minimization which we show has theoretical guarantees under standard assumptions even in the presence of noise.
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paper_title: Quantum state tomography via compressed sensing

paper_content:

We establish methods for quantum state tomography based on compressed sensing. These methods are specialized for quantum states that are fairly pure, and they offer a significant performance improvement on large quantum systems. In particular, they are able to reconstruct an unknown density matrix of dimension d and rank r using O(rdlog^2d) measurement settings, compared to standard methods that require d^2 settings. Our methods have several features that make them amenable to experimental implementation: they require only simple Pauli measurements, use fast convex optimization, are stable against noise, and can be applied to states that are only approximately low rank. The acquired data can be used to certify that the state is indeed close to pure, so no a priori assumptions are needed.
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paper_title: Exact Matrix Completion via Convex Optimization

paper_content:

We consider a problem of considerable practical interest: the recovery of a data matrix from a sampling of its entries. Suppose that we observe m entries selected uniformly at random from a matrix M. Can we complete the matrix and recover the entries that we have not seen? ::: ::: We show that one can perfectly recover most low-rank matrices from what appears to be an incomplete set of entries. We prove that if the number m of sampled entries obeys $$m\ge C\,n^{1.2}r\log n$$ for some positive numerical constant C, then with very high probability, most n×n matrices of rank r can be perfectly recovered by solving a simple convex optimization program. This program finds the matrix with minimum nuclear norm that fits the data. The condition above assumes that the rank is not too large. However, if one replaces the 1.2 exponent with 1.25, then the result holds for all values of the rank. Similar results hold for arbitrary rectangular matrices as well. Our results are connected with the recent literature on compressed sensing, and show that objects other than signals and images can be perfectly reconstructed from very limited information.
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paper_title: User-friendly tail bounds for sums of random matrices

paper_content:

This paper presents new probability inequalities for sums of independent, random, self-adjoint matrices. These results place simple and easily verifiable hypotheses on the summands, and they deliver strong conclusions about the large-deviation behavior of the maximum eigenvalue of the sum. Tail bounds for the norm of a sum of random rectangular matrices follow as an immediate corollary. The proof techniques also yield some information about matrix-valued martingales. ::: ::: In other words, this paper provides noncommutative generalizations of the classical bounds associated with the names Azuma, Bennett, Bernstein, Chernoff, Hoeffding, and McDiarmid. The matrix inequalities promise the same diversity of application, ease of use, and strength of conclusion that have made the scalar inequalities so valuable.
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paper_title: Matrix Completion With Noise

paper_content:

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.
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paper_title: 1-Bit Matrix Completion

paper_content:

In this paper we develop a theory of matrix completion for the extreme case of noisy 1-bit observations. Instead of observing a subset of the real-valued entries of a matrix M, we obtain a small number of binary (1-bit) measurements generated according to a probability distribution determined by the real-valued entries of M. The central question we ask is whether or not it is possible to obtain an accurate estimate of M from this data. In general this would seem impossible, but we show that the maximum likelihood estimate under a suitable constraint returns an accurate estimate of M when ||M||_{\infty}<= \alpha, and rank(M)<= r. If the log-likelihood is a concave function (e.g., the logistic or probit observation models), then we can obtain this maximum likelihood estimate by optimizing a convex program. In addition, we also show that if instead of recovering M we simply wish to obtain an estimate of the distribution generating the 1-bit measurements, then we can eliminate the requirement that ||M||_{\infty}<= \alpha. For both cases, we provide lower bounds showing that these estimates are near-optimal. We conclude with a suite of experiments that both verify the implications of our theorems as well as illustrate some of the practical applications of 1-bit matrix completion. In particular, we compare our program to standard matrix completion methods on movie rating data in which users submit ratings from 1 to 5. In order to use our program, we quantize this data to a single bit, but we allow the standard matrix completion program to have access to the original ratings (from 1 to 5). Surprisingly, the approach based on binary data performs significantly better.
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paper_title: Solving Quadratic Equations via PhaseLift when There Are About As Many Equations As Unknowns

paper_content:

This note shows that we can recover any complex vector $\boldsymbol {x}_{0} \in \mathbb {C}^{n}$ exactly from on the order of n quadratic equations of the form |?a i ,x 0?|2=b i , i=1,?,m, by using a semidefinite program known as PhaseLift. This improves upon earlier bounds in Candes et al. (Commun. Pure Appl. Math. 66:1241---1274, 2013), which required the number of equations to be at least on the order of nlogn. Further, we show that exact recovery holds for all input vectors simultaneously, and also demonstrate optimal recovery results from noisy quadratic measurements; these results are much sharper than previously known results.
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paper_title: Compressive Multiplexing of Correlated Signals

paper_content:

We present a general architecture for the acquisition of ensembles of correlated signals. The signals are multiplexed onto a single line by mixing each one against a different code and then adding them together, and the resulting signal is sampled at a high rate. We show that if the $M$ signals, each bandlimited to $W/2$ Hz, can be approximated by a superposition of $R < M$ underlying signals, then the ensemble can be recovered by sampling at a rate within a logarithmic factor of $RW$ (as compared to the Nyquist rate of $MW$). This sampling theorem shows that the correlation structure of the signal ensemble can be exploited in the acquisition process even though it is unknown a priori. ::: The reconstruction of the ensemble is recast as a low-rank matrix recovery problem from linear measurements. The architectures we are considering impose a certain type of structure on the linear operators. Although our results depend on the mixing forms being random, this imposed structure results in a very different type of random projection than those analyzed in the low-rank recovery literature to date.
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paper_title: Robust Localization From Incomplete Local Information

paper_content:

We consider the problem of localizing wireless devices in an ad hoc network embedded in a d-dimensional Euclidean space. Obtaining a good estimate of where wireless devices are located is crucial in wireless network applications including environment monitoring, geographic routing, and topology control. When the positions of the devices are unknown and only local distance information is given, we need to infer the positions from these local distance measurements. This problem is particularly challenging when we only have access to measurements that have limited accuracy and are incomplete. We consider the extreme case of this limitation on the available information, namely only the connectivity information is available, i.e., we only know whether a pair of nodes is within a fixed detection range of each other or not, and no information is known about how far apart they are. Furthermore, to account for detection failures, we assume that even if a pair of devices are within the detection range, they fail to detect the presence of one another with some probability, and this probability of failure depends on how far apart those devices are. Given this limited information, we investigate the performance of a centralized positioning algorithm MDS-MAP introduced by Shang et al. and a distributed positioning algorithm HOP-TERRAIN introduced by Savarese et al. In particular, for a network consisting of n devices positioned randomly, we provide a bound on the resulting error for both algorithms. We show that the error is bounded, decreasing at a rate that is proportional to RCritical/R, where RCritical is the critical detection range when the resulting random network starts to be connected, and R is the detection range of each device.
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paper_title: Noisy Matrix Completion under Sparse Factor Models

paper_content:

This paper examines a general class of noisy matrix completion tasks, where the goal is to estimate a matrix from observations obtained at a subset of its entries, each of which is subject to random noise or corruption. Our specific focus is on settings where the matrix to be estimated is well-approximated by a product of two ( a priori unknown) matrices, one of which is sparse. Such structural models—referred to here as sparse factor models—have been widely used, for example, in subspace clustering applications, as well as in contemporary sparse modeling and dictionary learning tasks. Our main theoretical contributions are estimation error bounds for sparsity-regularized maximum likelihood estimators for the problems of this form, which are applicable to a number of different observation noise or corruption models. Several specific implications are examined, including scenarios where observations are corrupted by additive Gaussian noise or additive heavier-tailed (Laplace) noise, Poisson-distributed observations, and highly quantized (e.g., 1 b) observations. We also propose a simple algorithmic approach based on the alternating direction method of multipliers for these tasks, and provide experimental evidence to support our error analyses.
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paper_title: 1-bit matrix completion under exact low-rank constraint

paper_content:

We consider the problem of noisy 1-bit matrix completion under an exact rank constraint on the true underlying matrix $M^*$. Instead of observing a subset of the noisy continuous-valued entries of a matrix $M^*$, we observe a subset of noisy 1-bit (or binary) measurements generated according to a probabilistic model. We consider constrained maximum likelihood estimation of $M^*$, under a constraint on the entry-wise infinity-norm of $M^*$ and an exact rank constraint. This is in contrast to previous work which has used convex relaxations for the rank. We provide an upper bound on the matrix estimation error under this model. Compared to the existing results, our bound has faster convergence rate with matrix dimensions when the fraction of revealed 1-bit observations is fixed, independent of the matrix dimensions. We also propose an iterative algorithm for solving our nonconvex optimization with a certificate of global optimality of the limiting point. This algorithm is based on low rank factorization of $M^*$. We validate the method on synthetic and real data with improved performance over existing methods.
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paper_title: A Max-Norm Constrained Minimization Approach to 1-Bit Matrix Completion

paper_content:

We consider in this paper the problem of noisy 1-bit matrix completion under a general non-uniform sampling distribution using the max-norm as a convex relaxation for the rank. A max-norm constrained maximum likelihood estimate is introduced and studied. The rate of convergence for the estimate is obtained. Information-theoretical methods are used to establish a minimax lower bound under the general sampling model. The minimax upper and lower bounds together yield the optimal rate of convergence for the Frobenius norm loss. Computational algorithms and numerical performance are also discussed.
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paper_title: Individualized rank aggregation using nuclear norm regularization

paper_content:

In recent years rank aggregation has received significant attention from the machine learning community. The goal of such a problem is to combine the (partially revealed) preferences over objects of a large population into a single, relatively consistent ordering of those objects. However, in many cases, we might not want a single ranking and instead opt for individual rankings. We study a version of the problem known as collaborative ranking. In this problem we assume that individual users provide us with pairwise preferences (for example purchasing one item over another). From those preferences we wish to obtain rankings on items that the users have not had an opportunity to explore. The results here have a very interesting connection to the standard matrix completion problem. We provide a theoretical justification for a nuclear norm regularized optimization procedure, and provide high-dimensional scaling results that show how the error in estimating user preferences behaves as the number of observations increase.
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paper_title: Collaboratively Learning Preferences from Ordinal Data

paper_content:

In applications such as recommendation systems and revenue management, it is important to predict preferences on items that have not been seen by a user or predict outcomes of comparisons among those that have never been compared. A popular discrete choice model of multinomial logit model captures the structure of the hidden preferences with a low-rank matrix. In order to predict the preferences, we want to learn the underlying model from noisy observations of the low-rank matrix, collected as revealed preferences in various forms of ordinal data. A natural approach to learn such a model is to solve a convex relaxation of nuclear norm minimization. We present the convex relaxation approach in two contexts of interest: collaborative ranking and bundled choice modeling. In both cases, we show that the convex relaxation is minimax optimal. We prove an upper bound on the resulting error with finite samples, and provide a matching information-theoretic lower bound.
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paper_title: Solving Quadratic Equations via PhaseLift when There Are About As Many Equations As Unknowns

paper_content:

This note shows that we can recover any complex vector $\boldsymbol {x}_{0} \in \mathbb {C}^{n}$ exactly from on the order of n quadratic equations of the form |?a i ,x 0?|2=b i , i=1,?,m, by using a semidefinite program known as PhaseLift. This improves upon earlier bounds in Candes et al. (Commun. Pure Appl. Math. 66:1241---1274, 2013), which required the number of equations to be at least on the order of nlogn. Further, we show that exact recovery holds for all input vectors simultaneously, and also demonstrate optimal recovery results from noisy quadratic measurements; these results are much sharper than previously known results.
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paper_title: Phase Retrieval via Wirtinger Flow: Theory and Algorithms

paper_content:

We study the problem of recovering the phase from magnitude measurements; specifically, we wish to reconstruct a complex-valued signal x of C^n about which we have phaseless samples of the form y_r = ||^2, r = 1,2,...,m (knowledge of the phase of these samples would yield a linear system). This paper develops a non-convex formulation of the phase retrieval problem as well as a concrete solution algorithm. In a nutshell, this algorithm starts with a careful initialization obtained by means of a spectral method, and then refines this initial estimate by iteratively applying novel update rules, which have low computational complexity, much like in a gradient descent scheme. The main contribution is that this algorithm is shown to rigorously allow the exact retrieval of phase information from a nearly minimal number of random measurements. Indeed, the sequence of successive iterates provably converges to the solution at a geometric rate so that the proposed scheme is efficient both in terms of computational and data resources. In theory, a variation on this scheme leads to a near-linear time algorithm for a physically realizable model based on coded diffraction patterns. We illustrate the effectiveness of our methods with various experiments on image data. Underlying our analysis are insights for the analysis of non-convex optimization schemes that may have implications for computational problems beyond phase retrieval.
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paper_title: Probabilistic low-rank matrix completion on finite alphabets

paper_content:

The task of reconstructing a matrix given a sample of observedentries is known as the matrix completion problem. It arises ina wide range of problems, including recommender systems, collaborativefiltering, dimensionality reduction, image processing, quantum physics or multi-class classificationto name a few. Most works have focused on recovering an unknown real-valued low-rankmatrix from randomly sub-sampling its entries.Here, we investigate the case where the observations take a finite number of values, corresponding for examples to ratings in recommender systems or labels in multi-class classification.We also consider a general sampling scheme (not necessarily uniform) over the matrix entries.The performance of a nuclear-norm penalized estimator is analyzed theoretically.More precisely, we derive bounds for the Kullback-Leibler divergence between the true and estimated distributions.In practice, we have also proposed an efficient algorithm based on lifted coordinate gradient descent in order to tacklepotentially high dimensional settings.
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paper_title: Low Rank Matrix Completion with Exponential Family Noise

paper_content:

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.
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paper_title: 1-Bit Matrix Completion

paper_content:

In this paper we develop a theory of matrix completion for the extreme case of noisy 1-bit observations. Instead of observing a subset of the real-valued entries of a matrix M, we obtain a small number of binary (1-bit) measurements generated according to a probability distribution determined by the real-valued entries of M. The central question we ask is whether or not it is possible to obtain an accurate estimate of M from this data. In general this would seem impossible, but we show that the maximum likelihood estimate under a suitable constraint returns an accurate estimate of M when ||M||_{\infty}<= \alpha, and rank(M)<= r. If the log-likelihood is a concave function (e.g., the logistic or probit observation models), then we can obtain this maximum likelihood estimate by optimizing a convex program. In addition, we also show that if instead of recovering M we simply wish to obtain an estimate of the distribution generating the 1-bit measurements, then we can eliminate the requirement that ||M||_{\infty}<= \alpha. For both cases, we provide lower bounds showing that these estimates are near-optimal. We conclude with a suite of experiments that both verify the implications of our theorems as well as illustrate some of the practical applications of 1-bit matrix completion. In particular, we compare our program to standard matrix completion methods on movie rating data in which users submit ratings from 1 to 5. In order to use our program, we quantize this data to a single bit, but we allow the standard matrix completion program to have access to the original ratings (from 1 to 5). Surprisingly, the approach based on binary data performs significantly better.
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paper_title: Adaptive Multinomial Matrix Completion

paper_content:

The task of estimating a matrix given a sample of observed entries is known as the \emph{matrix completion problem}. Most works on matrix completion have focused on recovering an unknown real-valued low-rank matrix from a random sample of its entries. Here, we investigate the case of highly quantized observations when the measurements can take only a small number of values. These quantized outputs are generated according to a probability distribution parametrized by the unknown matrix of interest. This model corresponds, for example, to ratings in recommender systems or labels in multi-class classification. We consider a general, non-uniform, sampling scheme and give theoretical guarantees on the performance of a constrained, nuclear norm penalized maximum likelihood estimator. One important advantage of this estimator is that it does not require knowledge of the rank or an upper bound on the nuclear norm of the unknown matrix and, thus, it is adaptive. We provide lower bounds showing that our estimator is minimax optimal. An efficient algorithm based on lifted coordinate gradient descent is proposed to compute the estimator. A limited Monte-Carlo experiment, using both simulated and real data is provided to support our claims.
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paper_title: Poisson Matrix Recovery and Completion

paper_content:

We extend the theory of low-rank matrix recovery and completion to the case when Poisson observations for a linear combination or a subset of the entries of a matrix are available, which arises in various applications with count data. We consider the (now) usual matrix recovery formulation through maximum likelihood with proper constraints on the matrix $M$ of size $d_1$-by-$d_2$, and establish theoretical upper and lower bounds on the recovery error. Our bounds for matrix completion are nearly optimal up to a factor on the order of $\mathcal{O}(\log(d_1 d_2))$. These bounds are obtained by combing techniques for compressed sensing for sparse vectors with Poisson noise and for analyzing low-rank matrices, as well as adapting the arguments used for one-bit matrix completion (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 the Poisson case compared to the prior work including having to impose a minimum signal-to-noise requirement on each observed entry and a gap in the upper and lower bounds. We also develop a set of efficient iterative algorithms and demonstrate their good performance on synthetic examples and real data.
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paper_title: Exponential Family Matrix Completion under Structural Constraints

paper_content:

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(.). We propose a simple convex regularized M-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.
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paper_title: Categorical matrix completion

paper_content:

We consider the problem of completing a matrix with categorical-valued entries from partial observations. This is achieved by extending the formulation and theory of one-bit matrix completion. We recover a low-rank matrix $X$ by maximizing the likelihood ratio with a constraint on the nuclear norm of $X$, and the observations are mapped from entries of $X$ through multiple link functions. We establish theoretical upper and lower bounds on the recovery error, which meet up to a constant factor $\mathcal{O}(K^{3/2})$ where $K$ is the fixed number of categories. The upper bound in our case depends on the number of categories implicitly through a maximization of terms that involve the smoothness of the link functions. In contrast to one-bit matrix completion, our bounds for categorical matrix completion are optimal up to a factor on the order of the square root of the number of categories, which is consistent with an intuition that the problem becomes harder when the number of categories increases. By comparing the performance of our method with the conventional matrix completion method on the MovieLens dataset, we demonstrate the advantage of our method.
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paper_title: Phase retrieval algorithms: a comparison

paper_content:

Iterative algorithms for phase retrieval from intensity data are compared to gradient search methods. Both the problem of phase retrieval from two intensity measurements (in electron microscopy or wave front sensing) and the problem of phase retrieval from a single intensity measurement plus a non-negativity constraint (in astronomy) are considered, with emphasis on the latter. It is shown that both the error-reduction algorithm for the problem of a single intensity measurement and the Gerchberg-Saxton algorithm for the problem of two intensity measurements converge. The error-reduction algorithm is also shown to be closely related to the steepest-descent method. Other algorithms, including the input–output algorithm and the conjugate-gradient method, are shown to converge in practice much faster than the error-reduction algorithm. Examples are shown.
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paper_title: Tight Oracle Inequalities for Low-Rank Matrix Recovery From a Minimal Number of Noisy Random Measurements

paper_content:

This paper presents several novel theoretical results regarding the recovery of a low-rank matrix from just a few measurements consisting of linear combinations of the matrix entries. We show that properly constrained nuclear-norm minimization stably recovers a low-rank matrix from a constant number of noisy measurements per degree of freedom; this seems to be the first result of this nature. Further, with high probability, the recovery error from noisy data is within a constant of three targets: (1) the minimax risk, (2) an “oracle” error that would be available if the column space of the matrix were known, and (3) a more adaptive “oracle” error which would be available with the knowledge of the column space corresponding to the part of the matrix that stands above the noise. Lastly, the error bounds regarding low-rank matrices are extended to provide an error bound when the matrix has full rank with decaying singular values. The analysis in this paper is based on the restricted isometry property (RIP).
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paper_title: Sparse Phase Retrieval from Short-Time Fourier Measurements

paper_content:

We consider the classical 1D phase retrieval problem. In order to overcome the difficulties associated with phase retrieval from measurements of the Fourier magnitude, we treat recovery from the magnitude of the short-time Fourier transform (STFT). We first show that the redundancy offered by the STFT enables unique recovery for arbitrary nonvanishing inputs, under mild conditions. An efficient algorithm for recovery of a sparse input from the STFT magnitude is then suggested, based on an adaptation of the recently proposed GESPAR algorithm. We demonstrate through simulations that using the STFT leads to improved performance over recovery from the oversampled Fourier magnitude with the same number of measurements.
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paper_title: Exact and Stable Covariance Estimation From Quadratic Sampling via Convex Programming

paper_content:

Statistical inference and information processing of high-dimensional data often require an efficient and accurate estimation of their second-order statistics. With rapidly changing data, limited processing power and storage at the acquisition devices, it is desirable to extract the covariance structure from a single pass over the data and a small number of stored measurements. In this paper, we explore a quadratic (or rank-one) measurement model which imposes minimal memory requirements and low computational complexity during the sampling process, and is shown to be optimal in preserving various low-dimensional covariance structures. Specifically, four popular structural assumptions of covariance matrices, namely, low rank, Toeplitz low rank, sparsity, jointly rank-one and sparse structure, are investigated, while recovery is achieved via convex relaxation paradigms for the respective structure. The proposed quadratic sampling framework has a variety of potential applications, including streaming data processing, high-frequency wireless communication, phase space tomography and phase retrieval in optics, and noncoherent subspace detection. Our method admits universally accurate covariance estimation in the absence of noise, as soon as the number of measurements exceeds the information theoretic limits. We also demonstrate the robustness of this approach against noise and imperfect structural assumptions. Our analysis is established upon a novel notion called the mixed-norm restricted isometry property (RIP- $\ell _{2}/\ell _{1}$ ), as well as the conventional RIP- $\ell _{2}/\ell _{2}$ for near-isotropic and bounded measurements. In addition, our results improve upon the best-known phase retrieval (including both dense and sparse signals) guarantees using PhaseLift with a significantly simpler approach.
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paper_title: PhaseLift: Exact and Stable Signal Recovery from Magnitude Measurements via Convex Programming

paper_content:

Suppose we wish to recover a signal x in C^n from m intensity measurements of the form | |^2, i = 1, 2,..., m; that is, from data in which phase information is missing. We prove that if the vectors z_i are sampled independently and uniformly at random on the unit sphere, then the signal x can be recovered exactly (up to a global phase factor) by solving a convenient semidefinite program---a trace-norm minimization problem; this holds with large probability provided that m is on the order of n log n, and without any assumption about the signal whatsoever. This novel result demonstrates that in some instances, the combinatorial phase retrieval problem can be solved by convex programming techniques. Finally, we also prove that our methodology is robust vis a vis additive noise.
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paper_title: Solving Quadratic Equations via PhaseLift when There Are About As Many Equations As Unknowns

paper_content:

This note shows that we can recover any complex vector $\boldsymbol {x}_{0} \in \mathbb {C}^{n}$ exactly from on the order of n quadratic equations of the form |?a i ,x 0?|2=b i , i=1,?,m, by using a semidefinite program known as PhaseLift. This improves upon earlier bounds in Candes et al. (Commun. Pure Appl. Math. 66:1241---1274, 2013), which required the number of equations to be at least on the order of nlogn. Further, we show that exact recovery holds for all input vectors simultaneously, and also demonstrate optimal recovery results from noisy quadratic measurements; these results are much sharper than previously known results.
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paper_title: On signal reconstruction without phase

paper_content:

We will construct new classes of Parseval frames for a Hilbert space which allow signal reconstruction from the absolute value of the frame coefficients. As a consequence, signal reconstruction can be done without using phase or its estimation. This verifies a longstanding conjecture of the speech processing community.
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paper_title: Stable optimizationless recovery from phaseless linear measurements

paper_content:

We address the problem of recovering an n-vector from m linear measurements lacking sign or phase information. We show that lifting and semidefinite relaxation suffice by themselves for stable recovery in the setting of m = O(n log n) random sensing vectors, with high probability. The recovery method is optimizationless in the sense that trace minimization in the PhaseLift procedure is unnecessary. That is, PhaseLift reduces to a feasibility problem. The optimizationless perspective allows for a Douglas-Rachford numerical algorithm that is unavailable for PhaseLift. This method exhibits linear convergence with a favorable convergence rate and without any parameter tuning.
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paper_title: Compressive Sampling of Ensembles of Correlated Signals

paper_content:

We propose several sampling architectures for the efficient acquisition of an ensemble of correlated signals. We show that without prior knowledge of the correlation structure, each of our architectures (under different sets of assumptions) can acquire the ensemble at a sub-Nyquist rate. Prior to sampling, the analog signals are diversified using simple, implementable components. The diversification is achieved by injecting types of “structured randomness” into the ensemble, the result of which is subsampled. For reconstruction, the ensemble is modeled as a low-rank matrix that we have observed through an (undetermined) set of linear equations. Our main results show that this matrix can be recovered using a convex program when the total number of samples is on the order of the intrinsic degree of freedom of the ensemble — the more heavily correlated the ensemble, the fewer samples are needed. To motivate this study, we discuss how such ensembles arise in the context of array processing.
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paper_title: Phase Recovery, MaxCut and Complex Semidefinite Programming

paper_content:

Phase retrieval seeks to recover a signal x from the amplitude |Ax| of linear measurements. We cast the phase retrieval problem as a non-convex quadratic program over a complex phase vector and formulate a tractable relaxation (called PhaseCut) similar to the classical MaxCut semidefinite program. We solve this problem using a provably convergent block coordinate descent algorithm whose structure is similar to that of the original greedy algorithm in Gerchberg-Saxton, where each iteration is a matrix vector product. Numerical results show the performance of this approach over three different phase retrieval problems, in comparison with greedy phase retrieval algorithms and matrix completion formulations.
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paper_title: Phase Retrieval Using Alternating Minimization

paper_content:

Phase retrieval problems involve solving linear equations, but with missing sign (or phase, for complex numbers) information. More than four decades after it was first proposed, the seminal error reduction algorithm of Gerchberg and Saxton and Fienup is still the popular choice for solving many variants of this problem. The algorithm is based on alternating minimization; i.e., it alternates between estimating the missing phase information, and the candidate solution. Despite its wide usage in practice, no global convergence guarantees for this algorithm are known. In this paper, we show that a (resampling) variant of this approach converges geometrically to the solution of one such problem—finding a vector $\bf x$ from ${\bf y}, {\bf A}$ , where ${\bf y} = \vert {\bf A}^T{\bf x}\vert$ and $\vert{\bf z}\vert$ denotes a vector of element-wise magnitudes of ${\bf z}$ —under the assumption that $ {\bf A}$ is Gaussian. Empirically, we demonstrate that alternating minimization performs similar to recently proposed convex techniques for this problem (which are based on “lifting” to a convex matrix problem) in sample complexity and robustness to noise. However, it is much more efficient and can scale to large problems. Analytically, for a resampling version of alternating minimization, we show geometric convergence to the solution, and sample complexity that is off by log factors from obvious lower bounds. We also establish close to optimal scaling for the case when the unknown vector is sparse. Our work represents the first theoretical guarantee for alternating minimization (albeit with resampling) for any variant of phase retrieval problems in the non-convex setting.
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paper_title: 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.
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paper_title: The local convexity of solving systems of quadratic equations

paper_content:

This paper considers the recovery of a rank $r$ positive semidefinite matrix $X X^T\in\mathbb{R}^{n\times n}$ from $m$ scalar measurements of the form $y_i := a_i^T X X^T a_i$ (i.e., quadratic measurements of $X$). Such problems arise in a variety of applications, including covariance sketching of high-dimensional data streams, quadratic regression, quantum state tomography, among others. A natural approach to this problem is to minimize the loss function $f(U) = \sum_i (y_i - a_i^TUU^Ta_i)^2$ which has an entire manifold of solutions given by $\{XO\}_{O\in\mathcal{O}_r}$ where $\mathcal{O}_r$ is the orthogonal group of $r\times r$ orthogonal matrices; this is {\it non-convex} in the $n\times r$ matrix $U$, but methods like gradient descent are simple and easy to implement (as compared to semidefinite relaxation approaches). In this paper we show that once we have $m \geq C nr \log^2(n)$ samples from isotropic gaussian $a_i$, with high probability {\em (a)} this function admits a dimension-independent region of {\em local strong convexity} on lines perpendicular to the solution manifold, and {\em (b)} with an additional polynomial factor of $r$ samples, a simple spectral initialization will land within the region of convexity with high probability. Together, this implies that gradient descent with initialization (but no re-sampling) will converge linearly to the correct $X$, up to an orthogonal transformation. We believe that this general technique (local convexity reachable by spectral initialization) should prove applicable to a broader class of nonconvex optimization problems.
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paper_title: Phase Retrieval via Wirtinger Flow: Theory and Algorithms

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We study the problem of recovering the phase from magnitude measurements; specifically, we wish to reconstruct a complex-valued signal x of C^n about which we have phaseless samples of the form y_r = ||^2, r = 1,2,...,m (knowledge of the phase of these samples would yield a linear system). This paper develops a non-convex formulation of the phase retrieval problem as well as a concrete solution algorithm. In a nutshell, this algorithm starts with a careful initialization obtained by means of a spectral method, and then refines this initial estimate by iteratively applying novel update rules, which have low computational complexity, much like in a gradient descent scheme. The main contribution is that this algorithm is shown to rigorously allow the exact retrieval of phase information from a nearly minimal number of random measurements. Indeed, the sequence of successive iterates provably converges to the solution at a geometric rate so that the proposed scheme is efficient both in terms of computational and data resources. In theory, a variation on this scheme leads to a near-linear time algorithm for a physically realizable model based on coded diffraction patterns. We illustrate the effectiveness of our methods with various experiments on image data. Underlying our analysis are insights for the analysis of non-convex optimization schemes that may have implications for computational problems beyond phase retrieval.
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paper_title: Phase Retrieval from Coded Diffraction Patterns

paper_content:

Abstract This paper considers the question of recovering the phase of an object from intensity-only measurements, a problem which naturally appears in X-ray crystallography and related disciplines. We study a physically realistic setup where one can modulate the signal of interest and then collect the intensity of its diffraction pattern, each modulation thereby producing a sort of coded diffraction pattern. We show that PhaseLift, a recent convex programming technique, recovers the phase information exactly from a number of random modulations, which is polylogarithmic in the number of unknowns. Numerical experiments with noiseless and noisy data complement our theoretical analysis and illustrate our approach.
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paper_title: Self-Calibration and Biconvex Compressive Sensing

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The design of high-precision sensing devises becomes ever more difficult and expensive. At the same time, the need for precise calibration of these devices (ranging from tiny sensors to space telescopes) manifests itself as a major roadblock in many scientific and technological endeavors. To achieve optimal performance of advanced high-performance sensors one must carefully calibrate them, which is often difficult or even impossible to do in practice. In this work we bring together three seemingly unrelated concepts, namely self-calibration, compressive sensing, and biconvex optimization. The idea behind self-calibration is to equip a hardware device with a smart algorithm that can compensate automatically for the lack of calibration. We show how several self-calibration problems can be treated efficiently within the framework of biconvex compressive sensing via a new method called SparseLift. More specifically, we consider a linear system of equations where both and the diagonal matrix (which models the calibration error) are unknown. By 'lifting' this biconvex inverse problem we arrive at a convex optimization problem. By exploiting sparsity in the signal model, we derive explicit theoretical guarantees under which both and can be recovered exactly, robustly, and numerically efficiently via linear programming. Applications in array calibration and wireless communications are discussed and numerical simulations are presented, confirming and complementing our theoretical analysis.
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paper_title: Blind Deconvolution Using Convex Programming

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We consider the problem of recovering two unknown vectors, $\w$ and $\x$, of length $L$ from their circular convolution. We make the structural assumption that the two vectors are members of known subspaces, one with dimension $N$ and the other with dimension $K$. Although the observed convolution is nonlinear in both $\w$ and $\x$, it is linear in the rank-1 matrix formed by their outer product $\w\x^*$. This observation allows us to recast the deconvolution problem as low-rank matrix recovery problem from linear measurements, whose natural convex relaxation is a nuclear norm minimization program. We prove the effectiveness of this relaxation by showing that for"generic"signals, the program can deconvolve $\w$ and $\x$ exactly when the maximum of $N$ and $K$ is almost on the order of $L$. That is, we show that if $\x$ is drawn from a random subspace of dimension $N$, and $\w$ is a vector in a subspace of dimension $K$ whose basis vectors are"spread out"in the frequency domain, then nuclear norm minimization recovers $\w\x^*$ without error. We discuss this result in the context of blind channel estimation in communications. If we have a message of length $N$ which we code using a random $L\times N$ coding matrix, and the encoded message travels through an unknown linear time-invariant channel of maximum length $K$, then the receiver can recover both the channel response and the message when $L\gtrsim N+K$, to within constant and log factors.
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paper_title: Fundamental Limits of Blind Deconvolution Part I: Ambiguity Kernel

paper_content:

Blind deconvolution is an ubiquitous non-linear inverse problem in applications like wireless communications and image processing. This problem is generally ill-posed, and there have been efforts to use sparse models for regularizing blind deconvolution to promote signal identifiability. Part I of this two-part paper characterizes the ambiguity space of blind deconvolution and shows unidentifiability of this inverse problem for almost every pair of unconstrained input signals. The approach involves lifting the deconvolution problem to a rank one matrix recovery problem and analyzing the rank two null space of the resultant linear operator. A measure theoretically tight (parametric and recursive) representation of the key rank two null space is stated and proved. This representation is a novel foundational result for signal and code design strategies promoting identifiability under convolutive observation models. Part II of this paper analyzes the identifiability of sparsity constrained blind deconvolution and establishes surprisingly strong negative results on scaling laws for the sparsity-ambiguity trade-off.
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paper_title: Identifiability in Blind Deconvolution With Subspace or Sparsity Constraints

paper_content:

Blind deconvolution (BD), the resolution of a signal and a filter given their convolution, arises in many applications. Without further constraints, BD is ill-posed. In practice, subspace or sparsity constraints have been imposed to reduce the search space, and have shown some empirical success. However, existing theoretical analysis on uniqueness in BD is rather limited. As an effort to address the still mysterious question, we derive sufficient conditions under which two vectors can be uniquely identified from their circular convolution, subject to subspace or sparsity constraints. These sufficient conditions provide the first algebraic sample complexities for BD. We first derive a sufficient condition that applies to almost all bases or frames. For blind deconvolution of vectors in $\mathbb{C}^n$, with two subspace constraints of dimensions $m_1$ and $m_2$, the required sample complexity is $n\geq m_1m_2$. Then we impose a sub-band structure on one basis, and derive a sufficient condition that involves a relaxed sample complexity $n\geq m_1+m_2-1$, which we show to be optimal. We present the extensions of these results to BD with sparsity constraints or mixed constraints, with the sparsity level replacing the subspace dimension. The cost for the unknown support in this case is an extra factor of 2 in the sample complexity.
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paper_title: Lifting for Blind Deconvolution in Random Mask Imaging: Identifiability and Convex Relaxation

paper_content:

In this paper we analyze the blind deconvolution of an image and an unknown blur in a coded imaging system. The measurements consist of subsampled convolution of an unknown blurring kernel with multiple random binary modulations (coded masks) of the image. To perform the deconvolution, we consider a standard lifting of the image and the blurring kernel that transforms the measurements into a set of linear equations of the matrix formed by their outer product. Any rank-one solution to this system of equations provides a valid pair of an image and a blur. We first express the necessary and sufficient conditions for the uniqueness of a rank-one solution under some additional assumptions (uniform subsampling and no limit on the number of coded masks). These conditions are a special case of a previously established result regarding identifiability in the matrix completion problem. We also characterize a low-dimensional subspace model for the blur kernel that is sufficient to guarantee identifiability, includin...
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paper_title: Stability in blind deconvolution of sparse signals and reconstruction by alternating minimization

paper_content:

Blind deconvolution is the recovery of two unknown signals from their convolution. To overcome the ill-posedness of this problem, solutions based on priors tailored to specific application have been developed in practical applications. In particular, sparsity models have provided promising priors. In spite of empirical success in many applications, existing analyses are rather limited in two main ways: by disparity between theoretical assumptions on the signal and/or measurement model versus practical setups; or by failure to demonstrate success for parameter values within the optimal regime defined by the information theoretic limits. In particular, it has been shown that a naive sparsity model is not strong enough as a prior for identifiability in blind deconvolution problem. In addition to sparsity, we adopt a conic constraint by Ahmed et al., which enforces flat spectra in the Fourier domain. Under this prior, we provide an iterative algorithm that achieves guaranteed performance in blind deconvolution with number of measurements proportional (up to a logarithmic factor) to the sparsity level of the signal.
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paper_title: Convex Blind Deconvolution with Random Masks

paper_content:

We solve blind deconvolution problems where one signal is modulated by multiple random masks using nuclear norm minimization. Theoretical analysis shows the number of masks for successful recovery scales as poly-logarithm of the problem dimension.
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paper_title: Exact Matrix Completion via Convex Optimization

paper_content:

We consider a problem of considerable practical interest: the recovery of a data matrix from a sampling of its entries. Suppose that we observe m entries selected uniformly at random from a matrix M. Can we complete the matrix and recover the entries that we have not seen? ::: ::: We show that one can perfectly recover most low-rank matrices from what appears to be an incomplete set of entries. We prove that if the number m of sampled entries obeys $$m\ge C\,n^{1.2}r\log n$$ for some positive numerical constant C, then with very high probability, most n×n matrices of rank r can be perfectly recovered by solving a simple convex optimization program. This program finds the matrix with minimum nuclear norm that fits the data. The condition above assumes that the rank is not too large. However, if one replaces the 1.2 exponent with 1.25, then the result holds for all values of the rank. Similar results hold for arbitrary rectangular matrices as well. Our results are connected with the recent literature on compressed sensing, and show that objects other than signals and images can be perfectly reconstructed from very limited information.
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paper_title: Multichannel Blind Identification: From Subspace to Maximum Likelihood Methods

paper_content:

A review of blind channel estimation algorithms is presented. From the (second-order) moment-based methods to the maximum likelihood approaches, under both statistical and deterministic signal models. We outline basic ideas behind several new developments, the assumptions and identifiability conditions required by these approaches, and the algorithm characteristics and their performance. This review serves as an introductory reference for this currently active research area.
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paper_title: Guaranteed Blind Sparse Spikes Deconvolution via Lifting and Convex Optimization

paper_content:

Neural recordings, returns from radars and sonars, images in astronomy and single-molecule microscopy can be modeled as a linear superposition of a small number of scaled and delayed copies of a band-limited or diffraction-limited point spread function, which is either determined by the nature or designed by the users; in other words, we observe the convolution between a point spread function and a sparse spike signal with unknown amplitudes and delays. While it is of great interest to accurately resolve the spike signal from as few samples as possible, however, when the point spread function is not known a priori, this problem is terribly ill-posed. This paper proposes a convex optimization framework to simultaneously estimate the point spread function as well as the spike signal, by mildly constraining the point spread function to lie in a known low-dimensional subspace. By applying the lifting trick, we obtain an underdetermined linear system of an ensemble of signals with joint spectral sparsity, to which atomic norm minimization is applied. Under mild randomness assumptions of the low-dimensional subspace as well as a separation condition of the spike signal, we prove the proposed algorithm, dubbed as AtomicLift, is guaranteed to recover the spike signal up to a scaling factor as soon as the number of samples is large enough. The extension of AtomicLift to handle noisy measurements is also discussed. Numerical examples are provided to validate the effectiveness of the proposed approaches.
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paper_title: Near-Optimal Estimation of Simultaneously Sparse and Low-Rank Matrices from Nested Linear Measurements

paper_content:

In this paper we consider the problem of estimating simultaneously low-rank and row-wise sparse matrices from nested linear measurements where the linear operator consists of the product of a linear operator $\mathcal{W}$ and a matrix $\mathbf{\varPsi}$. Leveraging the nested structure of the measurement operator, we propose a computationally efficient two-stage algorithm for estimating the simultaneously structured target matrix. Assuming that $\mathcal{W}$ is a restricted isometry for low-rank matrices and $\mathbf{\varPsi}$ is a restricted isometry for row-wise sparse matrices, we establish an accuracy guarantee that holds uniformly for all sufficiently low-rank and row-wise sparse matrices with high probability. Furthermore, using standard tools from information theory, we establish a minimax lower bound for estimation of simultaneously low-rank and row-wise sparse matrices from linear measurements that need not be nested. The accuracy bounds established for the algorithm, that also serve as a minimax upper bound, differ from the derived minimax lower bound merely by a polylogarithmic factor of the dimensions. Therefore, the proposed algorithm is nearly minimax optimal. We also discuss some applications of the proposed observation model and evaluate our algorithm through numerical simulation.
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Title: An overview of low-rank matrix recovery from incomplete observations

Section 1: Introduction
Description 1: This section introduces the prevalence of low-rank matrices in various settings, discusses the challenges posed by incomplete observations, and presents an overview of the progress made in low-rank matrix recovery.

Section 2: The Matrix Recovery Problem
Description 2: This section provides a formal mathematical statement of the low-rank matrix recovery problem, including different measurement models and the theoretical foundation for recovery.

Section 3: Low-rank approximation
Description 3: This section reviews the classical problem of finding the best low-rank approximation to a given matrix, including methods and variations of the singular value decomposition (SVD).

Section 4: Low-rank recovery and nuclear norm minimization
Description 4: This section discusses the nuclear norm minimization approach to the low-rank recovery problem, including algorithmic approaches and theoretical guarantees.

Section 5: Iterative hard thresholding
Description 5: This section details the iterative hard thresholding algorithms for low-rank recovery and compares their performance to nuclear norm minimization methods.

Section 6: Alternating projections
Description 6: This section describes the alternating projections algorithm for low-rank matrix recovery, including its implementation, advantages, and theoretical guarantees.

Section 7: Other algorithms for matrix recovery
Description 7: This section mentions other algorithms proposed for low-rank matrix recovery, including Frank-Wolfe-type algorithms, and greedy algorithms, summarizing their theoretical and practical aspects.

Section 8: Matrix Recovery from Gaussian Observations
Description 8: This section provides a detailed discussion of matrix recovery under Gaussian random projection models, including the matrix restricted isometry property (RIP) and related theoretical guarantees.

Section 9: Matrix Completion
Description 9: This section discusses the specific case of matrix completion, outlining the necessary conditions for recovery, coherence assumptions, and guarantees provided by nuclear norm minimization and other algorithms.

Section 10: Nonlinear Observation Models
Description 10: This section extends the discussion to more complex observation models, such as quantized and one-bit observations, describing how to handle these cases and associated theoretical results.

Section 11: Lifting
Description 11: This section explores the technique of lifting for re-casting quadratic and bilinear systems of equations as low-rank matrix recovery problems, including examples like phase retrieval and blind deconvolution.