Low-rank plus sparse matrices: ill-posedness and guaranteed recovery

25 February 2020
Simon Vary

Robust principal component analysis and low-rank matrix completion are extensions of PCA that allow for outliers and missing entries, respectively. Solving these problems requires a low coherence between the low-rank matrix and the canonical basis. However, in both problems the well-posedness issue is even more fundamental; in some cases, both Robust PCA and matrix completion can fail to have any solutions due to the fact that the set of low-rank plus sparse matrices is not closed. Another consequence of this fact is that the lower restricted isometry property (RIP) bound cannot be satisfied for some low-rank plus sparse matrices unless further restrictions are imposed on the constituents. By restricting the energy of one of the components, we close the set and are able to derive the RIP over the set of low rank plus sparse matrices and operators satisfying concentration of measure inequalities. We show that the RIP of an operator implies exact recovery of a low-rank plus sparse matrix is possible with computationally tractable algorithms such as convex relaxations or line-search methods. We propose two efficient iterative methods called Normalized Iterative Hard Thresholding (NIHT) and Normalized Alternative Hard Thresholding (NAHT) that provably recover a low-rank plus sparse matrix from subsampled measurements taken by an operator satisfying the RIP.

  • Numerical Analysis Group Internal Seminar