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arXiv · 1911.05774

Factor Group-Sparse Regularization for Efficient Low-Rank Matrix Recovery

Jicong Fan·Lijun Ding·Yudong Chen·Madeleine Udell
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Abstract

This paper develops a new class of nonconvex regularizers for low-rank matrix recovery. Many regularizers are motivated as convex relaxations of the matrix rank function. Our new factor group-sparse regularizers are motivated as a relaxation of the number of nonzero columns in a factorization of the matrix. These nonconvex regularizers are sharper than the nuclear norm; indeed, we show they are related to Schatten-$p$ norms with arbitrarily small $0 < p \leq 1$. Moreover, these factor group-sparse regularizers can be written in a factored form that enables efficient and effective nonconvex optimization; notably, the method does not use singular value decomposition. We provide generalization error bounds for low-rank matrix completion which show improved upper bounds for Schatten-$p$ norm reglarization as $p$ decreases. Compared to the max norm and the factored formulation of the nuclear norm, factor group-sparse regularizers are more efficient, accurate, and robust to the initial guess of rank. Experiments show promising performance of factor group-sparse regularization for low-rank matrix completion and robust principal component analysis.

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Jicong Fan, Lijun Ding, Yudong Chen, Madeleine Udell. 2019-11-13. Factor Group-Sparse Regularization for Efficient Low-Rank Matrix Recovery. https://arxiv.org/abs/1911.05774

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