Affine matrix rank minimization problem via non-convex fraction function penalty

摘要

Affine matrix rank minimization problem is a fundamental problem in many important applications. It is well known that this problem is combinatorial and NP-hard in general. In this paper, a continuous promoting low rank non-convex fraction function is studied to replace the rank function in this NP-hard problem. An iterative singular value thresholding algorithm is proposed to solve the regularization transformed affine matrix rank minimization problem. With the change of the parameter in non-convex fraction function, we could get some much better results, which is one of the advantages for the iterative singular value thresholding algorithm compared with some state-of-art methods. Some convergence results are established. Moreover, we proved that the value of the regularization parameter λ>0 cannot be chosen too large. Indeed, there exists λ̄>0 such that the optimal solution of the regularization transformed affine matrix rank minimization problem is equal to zero for any λ>λ̄. Numerical experiments on matrix completion problems and image inpainting problems show that our method performs effective in finding a low-rank matrix compared with some state-of-art methods.