Smoothed Low Rank and Sparse Matrix Recovery by Iteratively Reweighted Least Squares Minimization - implementation -

 

 

Smoothed Low Rank and Sparse Matrix Recovery by Iteratively Reweighted Least Squares Minimization by Canyi Lu, Zhouchen Lin, Shuicheng Yan

This work presents a general framework for solving the low rank and/or sparse matrix minimization problems, which may involve multiple non-smooth terms. The Iteratively Reweighted Least Squares (IRLS) method is a fast solver, which smooths the objective function and minimizes it by alternately updating the variables and their weights. However, the traditional IRLS can only solve a sparse only or low rank only minimization problem with squared loss or an affine constraint. This work generalizes IRLS to solve joint/mixed low rank and sparse minimization problems, which are essential formulations for many tasks. As a concrete example, we solve the Schatten-p norm and ℓ2,q-norm regularized Low-Rank Representation (LRR) problem by IRLS, and theoretically prove that the derived solution is a stationary point (globally optimal if p,q≥1). Our convergence proof of IRLS is more general than previous one which depends on the special properties of the Schatten-p norm and ℓ2,q-norm. Extensive experiments on both synthetic and real data sets demonstrate that our IRLS is much more efficient. 

An implementation of the fast IRLS solver is on Canyi Lu's page. 

  Join the CompressiveSensing subreddit or the Google+ Community and post there !
Liked this entry ? subscribe to Nuit Blanche's feed, there's more where that came from. You can also subscribe to Nuit Blanche by Email, explore the Big Picture in Compressive Sensing or the Matrix Factorization Jungle and join the conversations on compressive sensing, advanced matrix factorization and calibration issues on Linkedin.