Fast Low-Rank Estimation for Ill-Conditioned Matrices
In this work, we study the general problem of optimizing a convex function $F(L)$ over the set of $p\times p$ matrices, subject to rank constraints on $L$. However, existing first-order methods for solving such problems either are too slow to converge, or require multiple invocations of singular value decompositions. On the other hand, factorization-based non-convex algorithms, while being much faster, require stringent assumptions on the condition number of the optimum. In this paper, we provide a novel algorithmic framework that achieves the best of both worlds: asymptotically as fast as factorization methods, while requiring no dependency on the condition number. We instantiate our general framework for three important matrix estimation problems that impact several practical applications; (i) a nonlinear variant of affine rank minimization, (ii) logistic PCA, and (iii) precision matrix estimation in probabilistic graphical model learning. We then derive explicit bounds on the sample complexity as well as the running time of our approach, and show that it achieves the best possible bounds for both cases. We also provide an extensive range of experimental results, and demonstrate that our algorithm provides a very attractive tradeoff between estimation accuracy and running time.
Publications- M. Soltani and C. Hegde, Fast Low-Rank Estimation for Ill-Conditioned Matrices, International Symposium on Information Theory (ISIT), June 2018. [Paper]
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Mohammadreza Soltani
