论文标题
强大的矩阵完成,并进行重尾噪声
Robust Matrix Completion with Heavy-tailed Noise
论文作者
论文摘要
本文研究了在存在重尾且可能是不对称噪声的情况下,低级矩阵完成,我们旨在估算一组高度不完整的噪声条目,以估算一个潜在的低级基质。尽管在过去的十年中,矩阵的完成问题引起了很多关注,但当观察结果被重尾噪音污染时,仍然缺乏理论上的理解。先前的理论缺乏解释经验结果,无法捕获估计误差对噪声水平的最佳依赖性。在本文中,我们采用自适应的Huber损失来适应重尾噪声,当损失函数中的参数经过精心设计以平衡异常值的大型偏差和稳健性时,这对于大型且可能是不对称的错误是可靠的。然后,我们通过平衡的低级别burer-monteiro矩阵分解和梯度不错,并具有稳健的光谱初始化,提出了有效的非covex算法。我们证明,在仅在误差分布上的第二次计时条件下,而不是次高斯的假设下,由拟议算法产生的迭代元素的欧几里得误差会快速减少,直到达到最小值 - 最佳的统计估计误差,这与亚高斯的情况下的顺序相同。这一重大进步背后的关键技术是一个强大的一对一分析框架。我们的模拟研究证实了理论结果。
This paper studies low-rank matrix completion in the presence of heavy-tailed and possibly asymmetric noise, where we aim to estimate an underlying low-rank matrix given a set of highly incomplete noisy entries. Though the matrix completion problem has attracted much attention in the past decade, there is still lack of theoretical understanding when the observations are contaminated by heavy-tailed noises. Prior theory falls short of explaining the empirical results and is unable to capture the optimal dependence of the estimation error on the noise level. In this paper, we adopt an adaptive Huber loss to accommodate heavy-tailed noise, which is robust against large and possibly asymmetric errors when the parameter in the loss function is carefully designed to balance the Huberization biases and robustness to outliers. Then, we propose an efficient nonconvex algorithm via a balanced low-rank Burer-Monteiro matrix factorization and gradient decent with robust spectral initialization. We prove that under merely bounded second moment condition on the error distributions, rather than the sub-Gaussian assumption, the Euclidean error of the iterates generated by the proposed algorithm decrease geometrically fast until achieving a minimax-optimal statistical estimation error, which has the same order as that in the sub-Gaussian case. The key technique behind this significant advancement is a powerful leave-one-out analysis framework. The theoretical results are corroborated by our simulation studies.