Papers › Escaping Saddle Points in Ill-Conditioned Matrix Completion with a Scalable Second Order Method

Escaping Saddle Points in Ill-Conditioned Matrix Completion with a Scalable Second Order Method

7 Sep 2020arXiv:2009.02905archive 2025-07-28

Christian Kümmerle, Claudio M. Verdun

We propose an iterative algorithm for low-rank matrix completion that can be interpreted as both an iteratively reweighted least squares (IRLS) algorithm and a saddle-escaping smoothing Newton method applied to a non-convex rank surrogate objective. It combines the favorable data efficiency of previous IRLS approaches with an improved scalability by several orders of magnitude. Our method attains a local quadratic convergence rate already for a number of samples that is close to the information theoretical limit. We show in numerical experiments that unlike many state-of-the-art approaches, our approach is able to complete very ill-conditioned matrices with a condition number of up to 10¹⁰ from few samples.

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ckuemmerle/MatrixIRLS officialmentioned in paperMIT report
THweinberger/specAna_matComp mentioned on GitHubMIT report

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Low-Rank Matrix CompletionMatrix Completion

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