Fixed Point and Bregman Iterative Methods for Matrix Rank Minimization

TL;DR

This paper introduces fast fixed point and Bregman iterative algorithms for nuclear norm minimization to efficiently solve large matrix rank minimization problems, outperforming traditional semidefinite programming methods.

Contribution

The paper proposes the FPCA algorithm combining fixed point continuation and approximate SVD, enabling scalable and robust solutions for large matrix rank minimization tasks.

Findings

FPCA can recover large low-rank matrices efficiently.

The algorithm outperforms semidefinite programming solvers in speed and accuracy.

Demonstrated effectiveness on real-world data like recommendation systems and image inpainting.

Abstract

The linearly constrained matrix rank minimization problem is widely applicable in many fields such as control, signal processing and system identification. The tightest convex relaxation of this problem is the linearly constrained nuclear norm minimization. Although the latter can be cast as a semidefinite programming problem, such an approach is computationally expensive to solve when the matrices are large. In this paper, we propose fixed point and Bregman iterative algorithms for solving the nuclear norm minimization problem and prove convergence of the first of these algorithms. By using a homotopy approach together with an approximate singular value decomposition procedure, we get a very fast, robust and powerful algorithm, which we call FPCA (Fixed Point Continuation with Approximate SVD), that can solve very large matrix rank minimization problems. Our numerical results on randomly generated and real matrix completion problems demonstrate that this algorithm is much faster and provides much better recoverability than semidefinite programming solvers such as SDPT3. For example, our algorithm can recover 1000 x 1000 matrices of rank 50 with a relative error of 1e-5 in about 3 minutes by sampling only 20 percent of the elements. We know of no other method that achieves as good recoverability. Numerical experiments on online recommendation, DNA microarray data set and image inpainting problems demonstrate the effectiveness of our algorithms.