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arXiv · 1603.06610

Guarantees of Riemannian Optimization for Low Rank Matrix Completion

Ke Wei·Jian-Feng Cai·Tony F. Chan·Shingyu Leung
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Abstract

We study the Riemannian optimization methods on the embedded manifold of low rank matrices for the problem of matrix completion, which is about recovering a low rank matrix from its partial entries. Assume $m$ entries of an $n\times n$ rank $r$ matrix are sampled independently and uniformly with replacement. We first prove that with high probability the Riemannian gradient descent and conjugate gradient descent algorithms initialized by one step hard thresholding are guaranteed to converge linearly to the measured matrix provided \begin{align*} m\geq C_κn^{1.5}r\log^{1.5}(n), \end{align*} where $C_κ$ is a numerical constant depending on the condition number of the underlying matrix. The sampling complexity has been further improved to \begin{align*} m\geq C_κnr^2\log^{2}(n) \end{align*} via the resampled Riemannian gradient descent initialization. The analysis of the new initialization procedure relies on an asymmetric restricted isometry property of the sampling operator and the curvature of the low rank matrix manifold. Numerical simulation shows that the algorithms are able to recover a low rank matrix from nearly the minimum number of measurements.

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Ke Wei, Jian-Feng Cai, Tony F. Chan, Shingyu Leung. 2016-04-09. Guarantees of Riemannian Optimization for Low Rank Matrix Completion. https://arxiv.org/abs/1603.06610

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