Comments on Efficient Singular Value Thresholding Computation

Zhengyuan Zhou; Yi Ma

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arXiv · 2011.06710

Comments on Efficient Singular Value Thresholding Computation

Zhengyuan Zhou·Yi Ma

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Abstract

We discuss how to evaluate the proximal operator of a convex and increasing function of a nuclear norm, which forms the key computational step in several first-order optimization algorithms such as (accelerated) proximal gradient descent and ADMM. Various special cases of the problem arise in low-rank matrix completion, dropout training in deep learning and high-order low-rank tensor recovery, although they have all been solved on a case-by-case basis. We provide an unified and efficiently computable procedure for solving this problem.

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Zhengyuan Zhou, Yi Ma. 2020-11-13. Comments on Efficient Singular Value Thresholding Computation. https://arxiv.org/abs/2011.06710

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