Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

February 3, 2008 | Benjamin Recht, Maryam Fazel, Pablo A. Parrilo
The paper "Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization" by Benjamin Recht, Maryam Fazel, and Pablo A. Parrilo addresses the problem of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. This problem, known as affine rank minimization, is NP-hard due to its connection to vector cardinality minimization. The authors show that if a restricted isometry property holds for the linear transformation defining the constraints, the minimum rank solution can be recovered by solving a convex optimization problem, specifically the minimization of the nuclear norm over the given affine space. They present random ensembles of equations where the restricted isometry property holds with high probability, provided the codimension of the subspace is Ω(r(m + n) log mn), where m and n are the dimensions of the matrix, and r is its rank. The techniques used in the analysis have parallels with compressed sensing, and the paper discusses how affine rank minimization generalizes this concept. Several algorithmic approaches to solving the norm minimization relaxation are also discussed, and numerical examples illustrate the results. The paper provides the first mathematical characterization of when the nuclear norm heuristic produces the minimum rank solution, extending the compressed sensing machinery to a more general setting of low-rank models.The paper "Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization" by Benjamin Recht, Maryam Fazel, and Pablo A. Parrilo addresses the problem of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. This problem, known as affine rank minimization, is NP-hard due to its connection to vector cardinality minimization. The authors show that if a restricted isometry property holds for the linear transformation defining the constraints, the minimum rank solution can be recovered by solving a convex optimization problem, specifically the minimization of the nuclear norm over the given affine space. They present random ensembles of equations where the restricted isometry property holds with high probability, provided the codimension of the subspace is Ω(r(m + n) log mn), where m and n are the dimensions of the matrix, and r is its rank. The techniques used in the analysis have parallels with compressed sensing, and the paper discusses how affine rank minimization generalizes this concept. Several algorithmic approaches to solving the norm minimization relaxation are also discussed, and numerical examples illustrate the results. The paper provides the first mathematical characterization of when the nuclear norm heuristic produces the minimum rank solution, extending the compressed sensing machinery to a more general setting of low-rank models.
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