Guaranteed minimum-rank solutions of linear matrix equations via nuclear norm minimization. (English) Zbl 1198.90321

Recht, Benjamin; Fazel, Maryam; Parrilo, Pablo A.

SIAM Rev. 52, No. 3, 471-501 (2010).

Summary: The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative filtering. Although specific instances can often be solved with specialized algorithms, the general affine rank minimization problem is NP-hard because it contains vector cardinality minimization as a special case. In this paper, we show that if a certain restricted isometry property holds for the linear transformation defining the constraints, the minimum-rank solution can be recovered by solving a convex optimization problem, namely, the minimization of the nuclear norm over the given affine space. We present several random ensembles of equations where the restricted isometry property holds with overwhelming probability, provided the codimension of the subspace is sufficiently large. The techniques used in our analysis have strong parallels in the compressed sensing framework. We discuss how affine rank minimization generalizes this preexisting concept and outline a dictionary relating concepts from cardinality minimization to those of rank minimization. We also discuss several algorithmic approaches to minimizing the nuclear norm and illustrate our results with numerical examples.

MSC:

90C25	Convex programming
90C59	Approximation methods and heuristics in mathematical programming
15B52	Random matrices (algebraic aspects)

Keywords:

rank; convex optimization; matrix norms; random matrices; compressed sensing; semidefinite programming

Software:

SDPT3; SeDuMi; SDPLR