Sciweavers

CORR
2011
Springer

Noisy matrix decomposition via convex relaxation: Optimal rates in high dimensions

12 years 12 months ago
Noisy matrix decomposition via convex relaxation: Optimal rates in high dimensions
We analyze a class of estimators based on a convex relaxation for solving highdimensional matrix decomposition problems. The observations are the noisy realizations of the sum of an (approximately) low rank matrix Θ⋆ with a second matrix Γ⋆ endowed with a complementary form of lowdimensional structure. We derive a general theorem that gives upper bounds on the Frobenius norm error for an estimate of the pair (Θ⋆ , Γ⋆ ) obtained by solving a convex optimization problem. We then specialize our general result to two cases that have been studied in the context of robust PCA: low rank plus sparse structure, and low rank plus a column sparse structure. Our theory yields Frobenius norm error bounds for both deterministic and stochastic noise matrices, and in the latter case, they are minimax optimal. The sharpness of our theoretical predictions is also confirmed in numerical simulations.
Alekh Agarwal, Sahand Negahban, Martin J. Wainwrig
Added 28 May 2011
Updated 28 May 2011
Type Journal
Year 2011
Where CORR
Authors Alekh Agarwal, Sahand Negahban, Martin J. Wainwright
Comments (0)