Many applications require recovering a matrix of minimal rank within an affine constraint set, with matrix completion a notable special case. Because the problem is NP-hard in general, it is common to replace the matrix rank with the nuclear norm, which acts as a convenient convex surrogate. While elegant theoretical conditions elucidate when this replacement is likely to be successful, they are highly restrictive and convex algorithms fail when the ambient rank is too high or when the constraint set is poorly structured. Non-convex alternatives fare somewhat better when carefully tuned; however, convergence to locally optimal solutions remains a continuing source of failure. Against this backdrop we derive a deceptively simple and parameter-free probabilistic PCA-like algorithm that is capable, over a wide battery of empirical tests, of successful recovery even at the theoretical limit where the number of measurements equal the degrees of freedom in the unknown low-rank matrix. Somewhat surprisingly, this is possible even when the affine constraint set is highly ill-conditioned. While proving general recovery guarantees remains evasive for non-convex algorithms, Bayesian-inspired or otherwise, we nonetheless show conditions whereby the underlying cost function has a unique stationary point located at the global optimum; no existing cost function we are aware of satisfies this same property. We conclude with a simple computer vision application involving image rectification and a standard collaborative filtering benchmark.
In applications throughout science and engineering one is often faced with the challenge of solving an ill-posed inverse problem, where the number of available measurements is smaller than the dimension of the model to be estimated. However in many practical situations of interest, models are constrained structurally so that they only have a few degrees of freedom relative to their ambient dimension. This paper provides a general framework to convert notions of simplicity into convex penalty functions, resulting in convex optimization solutions to linear, underdetermined inverse problems. The class of simple models considered includes those formed as the sum of a few atoms from some (possibly infinite) elementary atomic set; examples include well-studied cases from many technical fields such as sparse vectors (signal processing, statistics) and low-rank matrices (control, statistics), as well as several others including sums of a few permutation matrices (ranked elections, multiobject tracking), low-rank tensors (computer vision, neuroscience), orthogonal matrices (machine learning), and atomic measures (system identification). The convex programming formulation is based on minimizing the norm induced by the convex hull of the atomic set; this norm is referred to as the atomic norm. The facial structure of the atomic norm ball carries a number of favorable properties that are useful for recovering simple models, and an analysis of the underlying convex geometry provides sharp estimates of the number of generic measurements required for exact and robust recovery of models from partial information. These estimates are based on computing the Gaussian widths of tangent cones to the atomic norm ball. When the atomic set has algebraic structure the resulting optimization problems can be solved or approximated via semidefinite programming. The quality of these approximations affects the number of measurements required for recovery, and this tradeoff is characterized via some examples. Thus this work extends the catalog of simple models (beyond sparse vectors and low-rank matrices) that can be recovered from limited linear information via tractable convex programming.