Penalty decomposition methods for rank minimization

Zhaosong Lu, Yong Zhang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

10 Scopus citations

Abstract

In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first show that a class of matrix optimization problems can be solved as lower dimensional vector optimization problems. As a consequence, we establish that a class of rank minimization problems have closed form solutions. Using this result, we then propose penalty decomposition methods for general rank minimization problems. The convergence results of the PD methods have been shown in the longer version of the paper [19]. Finally, we test the performance of our methods by applying them to matrix completion and nearest low-rank correlation matrix problems. The computational results demonstrate that our methods generally outperform the existing methods in terms of solution quality and/or speed.

Original languageEnglish (US)
Title of host publicationAdvances in Neural Information Processing Systems 24
Subtitle of host publication25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011
StatePublished - Dec 1 2011
Externally publishedYes
Event25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011 - Granada, Spain
Duration: Dec 12 2011Dec 14 2011

Publication series

NameAdvances in Neural Information Processing Systems 24: 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011

Other

Other25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011
CountrySpain
CityGranada
Period12/12/1112/14/11

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