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arXiv 0909.2705cs.ITmath.IT
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SET:一个一致矩阵完备化算法

SET: an algorithm for consistent matrix completion

Wei Dai, Olgica Milenkovic

摘要:

提出了一种求解相容矩阵完备化问题的新算法--子空间演化与转移算法(SET)。在这种情况下,给定一个低秩矩阵的一个子集,并要求找到一个与给定观测值一致的低秩矩阵。我们表明,这个问题可以通过搜索一个列空间,匹配的意见。相应的算法由两部分组成--子空间进化和子空间转移。在演化部分,我们使用一个线搜索过程来细化列空间。然而,线搜索不能保证收敛,因为沿着搜索路径可能存在阻碍算法达到全局最优的障碍。为了解决这个问题,在传输部分,我们设计的机制来检测障碍和传输估计列空间从一侧的障碍到另一个。SET算法表现出很好的经验性能非常低秩矩阵。

英文摘要:

A new algorithm, termed subspace evolution and transfer (SET), is proposed for solving the consistent matrix completion problem. In this setting, one is given a subset of the entries of a low-rank matrix, and asked to find one low-rank matrix consistent with the given observations. We show that this problem can be solved by searching for a column space that matches the observations. The corresponding algorithm consists of two parts -- subspace evolution and subspace transfer. In the evolution part, we use a line search procedure to refine the column space. However, line search is not guaranteed to converge, as there may exist barriers along the search path that prevent the algorithm from reaching a global optimum. To address this problem, in the transfer part, we design mechanisms to detect barriers and transfer the estimated column space from one side of the barrier to the another. The SET algorithm exhibits excellent empirical performance for very low-rank matrices.

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