2017/03/21 by Olsson, Carl, Carlsson, Marcus, Andersson, Fredrik +1
#FOS: Mathematics #Optimization and Control (math.OC)
paper · doi:10.48550/arxiv.1703.07171
This paper considers the problem of recovering either a low rank matrix or a sparse vector from observations of linear combinations of the vector or matrix elements. Recent methods replace the non-convex regularization with ℓ1 or nuclear norm relaxations. It is well known that this approach can be guaranteed to recover a near optimal solutions if a so called restricted isometry property (RIP) holds. On the other hand it is also known to perform soft thresholding which results in a shrinking bias which can degrade the solution. In this paper we study an alternative non-convex regularization term. This formulation does not penalize elements that are larger than a certain threshold making it much less prone to small solutions. Our main theoretical results show that if a RIP holds then the stationary points are often well separated, in the sense that their differences must be of high cardinality/rank. Thus, with a suitable initial solution the approach is unlikely to fall into a bad local minima. Our numerical tests show that the approach is likely to converge to a better solution than standard ℓ1/nuclear-norm relaxation even when starting from trivial initializations. In many cases our results can also be used to verify global optimality of our method.