In this paper, we propose a non-convex formulation to recover the authentic structure from the corrupted real data. Typically, the specific structure is assumed to be low rank, which holds for a wide range of data, such as images and videos. Meanwhile, the corruption is assumed to be sparse. In the literature, such a problem is known as Robust Principal Component Analysis (RPCA), which usually recovers the low rank structure by approximating the rank function with a nuclear norm and penalizing the error by an 1-norm. Although RPCA is a convex formulation and can be solved effectively, the introduced norms are not tight approximations, which may cause the solution to deviate from the authentic one. Therefore, we consider here a non-convex relaxation, consisting of a Schatten-p norm and an q-norm that promote low rank and sparsity respectively. We derive a proximal iteratively reweighted algorithm (PIRA) to solve the problem. Our algorithm is based on an alternating direction method of multipliers, where in each iteration we linearize the underlying objective function that allows us to have a closed form solution. We demonstrate that solutions produced by the linearized approximation always converge and have a tighter approximation than the convex counterpart. Experimental results on benchmarks show encouraging results of our approach.
For the @math -norm, many non-convex surrogate functions have been proposed, e.g., @math -norm with @math @cite_30 , and Smoothly Clipped Absolute Deviation (SCAD) @cite_33 . @cite_8 used the Alternate Direction Method (ADM) to solve a similar problem for the non-convex matrix completion problem. Cand ' @cite_20 proposed an algorithm to solve the reweighted @math minimization problem, which could better recover the @math -norm. The condition of sparse vector recovery has been given in @cite_30 .
@cite_30 @cite_33 @cite_20 @cite_8
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Abstract We present a condition on the matrix of an underdetermined linear system which guarantees that the solution of the system with minimal l q -quasinorm is also the sparsest one. This generalizes, and slightly improves, a similar result for the l 1 -norm. We then introduce a simple numerical scheme to compute solutions with minimal l q -quasinorm, and we study its convergence. Finally, we display the results of some experiments which indicate that the l q -method performs better than other available methods. Variable selection is fundamental to high-dimensional statistical modeling, including nonparametric regression. Many approaches in use are stepwise selection procedures, which can be computationally expensive and ignore stochastic errors in the variable selection process. In this article, penalized likelihood approaches are proposed to handle these kinds of problems. The proposed methods select variables and estimate coefficients simultaneously. Hence they enable us to construct confidence intervals for estimated parameters. The proposed approaches are distinguished from others in that the penalty functions are symmetric, nonconcave on (0, ∞), and have singularities at the origin to produce sparse solutions. Furthermore, the penalty functions should be bounded by a constant to reduce bias and satisfy certain conditions to yield continuous solutions. A new algorithm is proposed for optimizing penalized likelihood functions. The proposed ideas are widely applicable. They are readily applied to a variety of ... It is now well understood that (1) it is possible to reconstruct sparse signals exactly from what appear to be highly incomplete sets of linear measurements and (2) that this can be done by constrained l1 minimization. In this paper, we study a novel method for sparse signal recovery that in many situations outperforms l1 minimization in the sense that substantially fewer measurements are needed for exact recovery. The algorithm consists of solving a sequence of weighted l1-minimization problems where the weights used for the next iteration are computed from the value of the current solution. We present a series of experiments demonstrating the remarkable performance and broad applicability of this algorithm in the areas of sparse signal recovery, statistical estimation, error correction and image processing. Interestingly, superior gains are also achieved when our method is applied to recover signals with assumed near-sparsity in overcomplete representations—not by reweighting the l1 norm of the coefficient sequence as is common, but by reweighting the l1 norm of the transformed object. An immediate consequence is the possibility of highly efficient data acquisition protocols by improving on a technique known as Compressive Sensing. The low-rank matrix completion problem is a fundamental machine learning problem with many important applications. The standard low-rank matrix completion methods relax the rank minimization problem by the trace norm minimization. However, this relaxation may make the solution seriously deviate from the original solution. Meanwhile, most completion methods minimize the squared prediction errors on the observed entries, which is sensitive to outliers. In this paper, we propose a new robust matrix completion method to address these two problems. The joint Schatten @math -norm and @math -norm are used to better approximate the rank minimization problem and enhance the robustness to outliers. The extensive experiments are performed on both synthetic data and real world applications in collaborative filtering and social network link prediction. All empirical results show our new method outperforms the standard matrix completion methods.