symmetric low-rank product

Stochastic Gauss-Newton Algorithms for Online PCA

  • Siyun Zhou
  • Xin Liu
  • Liwei Xu
    • Categories Stochastic Programming Tags , , ,

    In this paper, we propose a stochastic Gauss-Newton (SGN) algorithm to study the online principal component analysis (OPCA) problem, which is formulated by using the symmetric low-rank product (SLRP) model for dominant eigenspace calculation. Compared with existing OPCA solvers, SGN is of improved robustness with respect to the varying input data and algorithm parameters. In … Read more

    An Alternating Minimization Method for Matrix Completion Problem

  • Xin Liu
  • Yuan Shen
    • Categories Convex Optimization, Unconstrained Optimization Tags , , , ,

    In this paper, we focus on solving matrix completion problem arising from applications in the fields of information theory, statistics, engineering, etc. However, the matrix completion problem involves nonconvex rank constraints which make this type of problem difficult to handle. Traditional approaches use a nuclear norm surrogate to replace the rank constraints. The relaxed model … Read more