Matrix completion with noisy entries and outliers

RKW Wong, TCM Lee - Journal of Machine Learning Research, 2017 - jmlr.org
RKW Wong, TCM Lee
Journal of Machine Learning Research, 2017jmlr.org
This paper considers the problem of matrix completion when the observed entries are noisy
and contain outliers. It begins with introducing a new optimization criterion for which the
recovered matrix is defined as its solution. This criterion uses the celebrated Huber function
from the robust statistics literature to downweigh the effects of outliers. A practical algorithm
is developed to solve the optimization involved. This algorithm is fast, straightforward to
implement, and monotonic convergent. Furthermore, the proposed methodology is …
This paper considers the problem of matrix completion when the observed entries are noisy and contain outliers. It begins with introducing a new optimization criterion for which the recovered matrix is defined as its solution. This criterion uses the celebrated Huber function from the robust statistics literature to downweigh the effects of outliers. A practical algorithm is developed to solve the optimization involved. This algorithm is fast, straightforward to implement, and monotonic convergent. Furthermore, the proposed methodology is theoretically shown to be stable in a well defined sense. Its promising empirical performance is demonstrated via a sequence of simulation experiments, including image inpainting.
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