Non-convex low-rank matrix recovery with arbitrary outliers via median-truncated gradient descent. (7th May 2019)

• Record Type: Journal Article
• Authors: Li, Yuanxin; Chi, Yuejie; Zhang, Huishuai; Liang, Yingbin
• Is Part Of: Information and inference. Volume 9:Number 2(2020)
• Page Start: 289
• Page End: 325
• Publication Date: 2019-05-07
• Subjects: median-truncated gradient descent -- low-rank matrix recovery -- non-convex approach -- robust algorithms -- outliers; Mathematical models -- Periodicals; 519.605
• DOI: 10.1093/imaiai/iaz009
• Languages: English
• ISSNs: 2049-8764

Abstract

Abstract: Recent work has demonstrated the effectiveness of gradient descent for directly recovering the factors of low-rank matrices from random linear measurements in a globally convergent manner when initialized properly. However, the performance of existing algorithms is highly sensitive in the presence of outliers that may take arbitrary values. In this paper, we propose a truncated gradient descent algorithm to improve the robustness against outliers, where the truncation is performed to rule out the contributions of samples that deviate significantly from the sample median of measurement residuals adaptively in each iteration. We demonstrate that, when initialized in a basin of attraction close to the ground truth, the proposed algorithm converges to the ground truth at a linear rate for the Gaussian measurement model with a near-optimal number of measurements, even when a constant fraction of the measurements are arbitrarily corrupted. In addition, we propose a new truncated spectral method that ensures an initialization in the basin of attraction at slightly higher requirements. We finally provide numerical experiments to validate the superior performance of the proposed approach.