EXACT MATRIX COMPLETION VIA CONVEX OPTIMIZATION EMMANUEL J
- Slides: 34
EXACT MATRIX COMPLETION VIA CONVEX OPTIMIZATION EMMANUEL J. CANDES AND BENJAMIN RECHT MAY 2008 Presenter: Shujie Hou January, 28 th, 2011 Department of Electrical and Computer Engineering Cognitive Radio Institute Tennessee Technological university
SOME AVAILABLE CODES http: //perception. csl. illinois. edu/matrixrank/sample_code. html#RPCA http: //svt. caltech. edu/code. html http: //lmafit. blogs. rice. edu/ http: //www. stanford. edu/~raghuram/optspace/code. html http: //people. ee. duke. edu/~lcarin/BCS. html
OUTLINE The problem statement Examples of impossible recovery Algorithms Main theorems Proof Experimental results Discussion
PROBLEM CONSIDERED The problem of low-rank matrix completion: � Recovery of a data matrix from a sampling of its entries. � A matrix with rows and columns � Only observing a number of of its entries which is much smaller than. Can the partially observed matrix be recovered and under what kind of conditions such a matrix can be exactly recovered?
EXAMPLES OF IMPOSSIBLE RECOVERY This matrix can not be recovered unless all of the entries are given. Reason: for most sampling sets, only observing all of zeros. Not all of the matrices can be completed from a sample of their entries.
EXAMPLES OF IMPOSSIBLE RECOVERY The observation does not include samples from first row, the first component could never be guessed out. Not all the sampling set can be used to complete the matrix.
SHORT CONCLUSION One can not recover all low-rank matrices from any set of sampled entries. Can one recover most matrices from almost all sampling sets of cardinality ? The two theorems given later will tell that this is possible for most low-rank matrices under some specific conditions.
ALGORITHM Intuitively, (NP-hard problem) Locations of observed entries Alternatively, considering a heuristic optimization in which Sum of singular values Is (1. 5) reasonable or to what extent it is equivalent to rank minimization?
THE FIRST THEOREM Talk later There is unique low-rank matrix consistent with the observed entries. The heuristic model (1. 5) is equivalent to the above NP-hard formulation.
RANDOM ORTHOGONAL MODEL Generic low-rank matrix SVD (singular value decomposition ) of a matrix
A DEFINITION The subspace with low coherence is the special interest of this paper. Singular vectors with low coherence is “spread out. ”(not sparse) It can guarantee that the sampling set cannot really be a zero set.
TWO ASSUMPTIONS
MAIN RESULTS Theorem 1. 1 is a special case of theorem 1. 3. If only a few matrices satisfy the conditions, it will also make theorem 1. 3 of little practical use.
THE CONDITIONS OF THEOREM 1. 3 The random orthogonal model obeys the two assumptions A 0 and A 1 with large probability.
THE PROOF OF THE LEMMAS
REVIEW OF THEOREM 1. 3
THE PROOF The author employs the tools of subgradient (in distributions (generalized functional) and duality ( in optimization theory) and tools in asymptotic geometric analysis to prove the existence and uniqueness of theorem (1. 3). The proof is from page. 15 -42. The details won’t be discussed here.
DUALITY(1) In optimization theory, the duality principle states that optimization problems may be viewed from either of two perspectives, the primal problem or the dual problem. (Wikipedia) Concept in constraint optimization
DUALITY(2) The largest singular value
DUALITY(3) in which Orthogonal complement
DUALITY(4) Ensure Y is the subgradient of nuclear norm at X 0 Property of injectivity Equivalent to the operator
ARCHITECTURE OF THE PROOF(1) The candidate Y which vanishes on the complement of the will be the solution to the optimization model of
ARCHITECTURE OF THE PROOF(2) The candidate Y which vanishes on the complement of the will be the solution to Hopefully, the small Frobenius norm will indicate the small spectral norm as well. Prove the first statement The first part of the statement 1.
ARCHITECTURE OF THE PROOF(3) Ready to prove the second property: injectivity of Property of the orthogonal projection If is a one-to-one linear mapping, then The solution of the model:
ARCHITECTURE OF THE PROOF(4) Bernoulli model of the sampling set
ARCHITECTURE OF THE PROOF(5)
ARCHITECTURE OF THE PROOF(6)
CONNECTIONS TO TRACE HEURISTIC When the matrix variable is symmetric and positive semidefinite: Which is equivalent to
EXTENSIONS The matrix completion can be extended to multitask and multiclass learning problems in machine learning.
NUMERICAL EXPERIMENTS
NUMERICAL EXPERIMENTS
NUMERICAL RESULTS
DISCUSSIONS Under suitable conditions, the matrix can be completed for a small number of the sampled entries. The required number of the sample entries is on the order of.
Questions? Thank you!
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