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Two-stage convex relaxation approach to low-rank and sparsity regularized least squares loss

Author

Listed:
  • Le Han

    (South China University of Technology)

  • Shujun Bi

    (South China University of Technology)

Abstract

In this paper we consider the rank and zero norm regularized least squares loss minimization problem with a spectral norm ball constraint. For this class of NP-hard optimization problems, we propose a two-stage convex relaxation approach by majorizing some suitable locally Lipschitz continuous surrogates. Furthermore, the Frobenius norm error bound for the optimal solution of each stage is characterized and the theoretical guarantee is established for the two-stage convex relaxation approach by showing that the error bound of the first stage convex relaxation (i.e., the nuclear norm and $$\ell _1$$ ℓ 1 -norm regularized minimization problem), can be reduced much by the second stage convex relaxation under a suitable restricted eigenvalue condition. Also, we verify the efficiency of the proposed approach by applying it to some random test problems and some real problems.

Suggested Citation

  • Le Han & Shujun Bi, 2018. "Two-stage convex relaxation approach to low-rank and sparsity regularized least squares loss," Journal of Global Optimization, Springer, vol. 70(1), pages 71-97, January.
  • Handle: RePEc:spr:jglopt:v:70:y:2018:i:1:d:10.1007_s10898-017-0573-2
    DOI: 10.1007/s10898-017-0573-2
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    References listed on IDEAS

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    1. Le Han & Shujun Bi & Shaohua Pan, 2016. "Two-stage convex relaxation approach to least squares loss constrained low-rank plus sparsity optimization problems," Computational Optimization and Applications, Springer, vol. 64(1), pages 119-148, May.
    2. Necdet Aybat & Donald Goldfarb & Shiqian Ma, 2014. "Efficient algorithms for robust and stable principal component pursuit problems," Computational Optimization and Applications, Springer, vol. 58(1), pages 1-29, May.
    3. Lingchen Kong & Naihua Xiu, 2013. "EXACT LOW-RANK MATRIX RECOVERY VIA NONCONVEX SCHATTEN p-MINIMIZATION," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 30(03), pages 1-13.
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    Cited by:

    1. Zhang, Shuang & Han, Le, 2023. "Robust tensor recovery with nonconvex and nonsmooth regularization," Applied Mathematics and Computation, Elsevier, vol. 438(C).

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