论文标题

关于低排名半决赛计划的简单性和条件

On the simplicity and conditioning of low rank semidefinite programs

论文作者

Ding, Lijun, Udell, Madeleine

论文摘要

低等级矩阵恢复问题在统计,组合学和成像中广泛出现。解决这些问题的一种著名方法是制定和解决半决赛计划(SDP)。通常知道,具有完美数据的SDP的确切解决方案将恢复原始低级矩阵恢复问题的解决方案。表明用嘈杂的问题数据对SDP进行的近似解决方案更具挑战性,可以接受解决原始问题。对于每个问题设置,参数通常是临时的,并且可能很复杂。 在本说明中,我们确定了一组我们称为简单性的条件,这些条件限制了由于嘈杂的问题数据或不完全收敛而引起的错误。从这个意义上讲,简单的SDP是强大的:简单的SDP可以(大约)在大规模上有效地求解;即使有嘈杂的数据,也可以信任最终的近似解决方案。此外,我们证明了简单性一般成立,并且对于许多结构化的低级矩阵恢复问题,包括随机块模型,$ \ mathbb {z} _2 $ synchronization和矩阵完成。正式地,如果SDP具有汇总约束图,我们称其为简单,承认独特的原始和双重解决方案对,并满足强度二元性和严格的互补性。 但是,简单性并不是灵丹妙药:我们显示了SDP的Burer-Monteiro公式,即使对于具有等级1解决方案的简单SDP,SDP的burer-Monteiro公式也可能具有虚假的二阶关键点。

Low rank matrix recovery problems appear widely in statistics, combinatorics, and imaging. One celebrated method for solving these problems is to formulate and solve a semidefinite program (SDP). It is often known that the exact solution to the SDP with perfect data recovers the solution to the original low rank matrix recovery problem. It is more challenging to show that an approximate solution to the SDP formulated with noisy problem data acceptably solves the original problem; arguments are usually ad hoc for each problem setting, and can be complex. In this note, we identify a set of conditions that we call simplicity that limit the error due to noisy problem data or incomplete convergence. In this sense, simple SDPs are robust: simple SDPs can be (approximately) solved efficiently at scale; and the resulting approximate solutions, even with noisy data, can be trusted. Moreover, we show that simplicity holds generically, and also for many structured low rank matrix recovery problems, including the stochastic block model, $\mathbb{Z}_2$ synchronization, and matrix completion. Formally, we call an SDP simple if it has a surjective constraint map, admits a unique primal and dual solution pair, and satisfies strong duality and strict complementarity. However, simplicity is not a panacea: we show the Burer-Monteiro formulation of the SDP may have spurious second-order critical points, even for a simple SDP with a rank 1 solution.

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