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Matrix Completion and Related Problems via Strong Duality

Authors: Maria-Florina Balcan, Yingyu Liang, David P. Woodruff, and Hongyang Zhang

Published in: LIPIcs, Volume 94, 9th Innovations in Theoretical Computer Science Conference (ITCS 2018)


Abstract
This work studies the strong duality of non-convex matrix factorization problems: we show that under certain dual conditions, these problems and its dual have the same optimum. This has been well understood for convex optimization, but little was known for non-convex problems. We propose a novel analytical framework and show that under certain dual conditions, the optimal solution of the matrix factorization program is the same as its bi-dual and thus the global optimality of the non-convex program can be achieved by solving its bi-dual which is convex. These dual conditions are satisfied by a wide class of matrix factorization problems, although matrix factorization problems are hard to solve in full generality. This analytical framework may be of independent interest to non-convex optimization more broadly. We apply our framework to two prototypical matrix factorization problems: matrix completion and robust Principal Component Analysis (PCA). These are examples of efficiently recovering a hidden matrix given limited reliable observations of it. Our framework shows that exact recoverability and strong duality hold with nearly-optimal sample complexity guarantees for matrix completion and robust PCA.

Cite as

Maria-Florina Balcan, Yingyu Liang, David P. Woodruff, and Hongyang Zhang. Matrix Completion and Related Problems via Strong Duality. In 9th Innovations in Theoretical Computer Science Conference (ITCS 2018). Leibniz International Proceedings in Informatics (LIPIcs), Volume 94, pp. 5:1-5:22, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2018)


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@InProceedings{balcan_et_al:LIPIcs.ITCS.2018.5,
  author =	{Balcan, Maria-Florina and Liang, Yingyu and Woodruff, David P. and Zhang, Hongyang},
  title =	{{Matrix Completion and Related Problems via Strong Duality}},
  booktitle =	{9th Innovations in Theoretical Computer Science Conference (ITCS 2018)},
  pages =	{5:1--5:22},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-060-6},
  ISSN =	{1868-8969},
  year =	{2018},
  volume =	{94},
  editor =	{Karlin, Anna R.},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/LIPIcs.ITCS.2018.5},
  URN =		{urn:nbn:de:0030-drops-83583},
  doi =		{10.4230/LIPIcs.ITCS.2018.5},
  annote =	{Keywords: Non-Convex Optimization, Strong Duality, Matrix Completion, Robust PCA, Sample Complexity}
}
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