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A partial proximal point algorithm for nuclear norm regularized matrix least squares problems

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Abstract

We introduce a partial proximal point algorithm for solving nuclear norm regularized matrix least squares problems with equality and inequality constraints. The inner subproblems, reformulated as a system of semismooth equations, are solved by an inexact smoothing Newton method, which is proved to be quadratically convergent under a constraint non-degeneracy condition, together with the strong semi-smoothness property of the singular value thresholding operator. Numerical experiments on a variety of problems including those arising from low-rank approximations of transition matrices show that our algorithm is efficient and robust.

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Notes

  1. Available at http://www.mathworks.com/moler/ncmfilelist.html.

  2. Available at: http://www.cs.toronto.edu/~tsap/experiments/datasets/index.html.

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Authors and Affiliations

  1. Department of Mathematics, National University of Singapore, 10 Lower Kent Ridge Road, Singapore , 119076, Singapore

    Kaifeng Jiang & Kim-Chuan Toh

  2. Department of Mathematics and Risk Management Institute, National University of Singapore, 10 Lower Kent Ridge Road, Singapore , 119076, Singapore

    Defeng Sun

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  1. Kaifeng Jiang
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  2. Defeng Sun
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Correspondence to Kim-Chuan Toh.

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Kim-Chuan Toh: Research support in part by Academic Research Fund under grant R-146-000-168-112.

Defeng Sun: Research supported in part by Academic Research Fund under grant R-146-000-149-112.

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Jiang, K., Sun, D. & Toh, KC. A partial proximal point algorithm for nuclear norm regularized matrix least squares problems. Math. Prog. Comp. 6, 281–325 (2014). https://doi.org/10.1007/s12532-014-0069-8

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