Optimization over low rank matrices has broad applications in machine learning. For large scale problems, an attractive heuristic is to factorize the low rank matrix to a product of two much smaller matrices. In this paper, we study the nonconvex …
In this work, the nonconvex surrogate functions of L_0-norm are extended on the singular values to approximate the rank function. It is observed that all the existing nonconvex surrogate functions are concave and monotonically increasing on [0, \infty). Then a general solver IRNN is proposed.
We conclude that even for rank minimization problems as simple as noiseless LatLRR, replacing rank with nuclear norm is not valid and LatLRR is actually problematic because the solution to its nuclear norm minimization formation is not unique in this paper