In this paper we propose an approach to approximate a truncated singular value decomposition of a large structured matrix. By first decomposing the matrix into a sum of Kronecker products, our approach can be used to approximate a large number of singular values and vectors more efficiently than other well known schemes, such as randomized matrix algorithms or iterative algorithms based on Golub-Kahan bidiagonalization. We provide theoretical results and numerical experiments to demonstrate the accuracy of our approximation and show how the approximation can be used to solve large scale ill-posed inverse problems, either as an approximate filtering method, or as a preconditioner to accelerate iterative algorithms.
A second alternative set of methods are randomized methods. Halko, Martinsson, and Tropp proposed a generalized random algorithm for computing various factorizations of matrices, including the truncated SVD @cite_19 . One version of this algorithm applies to matrices for which computing a matrix-vector product is fast; this is the case described in , as the PSF can be applied with chosen boundary conditions without explicitly forming the full blur operator @math .
@cite_19
1977580401 2103913786 2547648546 2020098476
Recovering low-rank and sparse matrices from incomplete or corrupted observations is an important problem in statistics, machine learning, computer vision, as well as signal and image processing. In theory, this problem can be solved by the natural convex joint mixed relaxations (i.e., l 1 -norm and trace norm) under certain conditions. However, all current provable algorithms suffer from superlinear per-iteration cost, which severely limits their applicability to large-scale problems. In this paper, we propose a scalable, provable and structured robust bilinear factorization (RBF) method to recover low-rank and sparse matrices from missing and grossly corrupted data, i.e., robust matrix completion (RMC), or incomplete and grossly corrupted measurements, i.e., compressive principal component pursuit (CPCP). Specifically, we first present two small-scale matrix trace norm regularized bilinear factorization models for RMC and CPCP problems, in which repetitively calculating SVD of a large-scale matrix is replaced by updating two much smaller factor matrices. Then, we apply the alternating direction method of multipliers (ADMM) to efficiently solve the RMC problems. Finally, we provide the convergence analysis of our algorithm, and extend it to address general CPCP problems. Experimental results verified both the efficiency and effectiveness of our method compared with the state-of-the-art methods. We present a blind deconvolution algorithm based on the total variational (TV) minimization method proposed by Acar and Vogel (1994). The motivation for regularizing with the TV norm is that it is extremely effective for recovering edges of images as well as some blurring functions, e.g., motion blur and out-of-focus blur. An alternating minimization (AM) implicit iterative scheme is devised to recover the image and simultaneously identify the point spread function (PSF). Numerical results indicate that the iterative scheme is quite robust, converges very fast (especially for discontinuous blur), and both the image and the PSF can be recovered under the presence of high noise level. Finally, we remark that PSFs without sharp edges, e.g., Gaussian blur, can also be identified through the TV approach. We consider low-rank reconstruction of a matrix using a subset of its columns and present asymptotically optimal algorithms for both spectral norm and Frobenius norm reconstruction. The main tools we introduce to obtain our results are (i) the use of fast approximate SVD-like decompositions for column-based matrix reconstruction, and (ii) two deterministic algorithms for selecting rows from matrices with orthonormal columns, building upon the sparse representation theorem for decompositions of the identity that appeared in [J. D. Batson, D. A. Spielman, and N. Srivastava, Twice-Ramanujan sparsifiers, in Proceedings of the 41st Annual ACM Symposium on Theory of Computing (STOC), 2009, pp. 255--262]. Matrix factorization, when the matrix has missing values, has become one of the leading techniques for recommender systems. To handle web-scale datasets with millions of users and billions of ratings, scalability becomes an important issue. Alternating Least Squares (ALS) and Stochastic Gradient Descent (SGD) are two popular approaches to compute matrix factorization. There has been a recent flurry of activity to parallelize these algorithms. However, due to the cubic time complexity in the target rank, ALS is not scalable to large-scale datasets. On the other hand, SGD conducts efficient updates but usually suffers from slow convergence that is sensitive to the parameters. Coordinate descent, a classical optimization approach, has been used for many other large-scale problems, but its application to matrix factorization for recommender systems has not been explored thoroughly. In this paper, we show that coordinate descent based methods have a more efficient update rule compared to ALS, and are faster and have more stable convergence than SGD. We study different update sequences and propose the CCD++ algorithm, which updatesrank-one factors one by one. In addition, CCD++ can be easily parallelized on both multi-core and distributed systems. We empirically show that CCD++ is much faster than ALS and SGD in both settings. As an example, on a synthetic dataset with 2 billion ratings, CCD++ is 4 times faster than both SGD and ALS using a distributed system with 20 machines.