Approximately low-rank recovery from noisy and local measurements by convex program
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Low-rank matrix models have been universally useful for numerous applications starting from classical system identification to more modern matrix completion in signal processing and statistics. The nuclear norm has been employed as a convex surrogate of the low-rankness since it induces a low-rank solution to inverse problems. While the nuclear norm for low-rankness has a nice analogy with the ℓ_1 norm for sparsity through the singular value decomposition, other matrix norms also induce low-rankness. Particularly as one interprets a matrix as a linear operator between Banach spaces, various tensor product norms generalize the role of the nuclear norm. We provide a tensor-norm-constrained estimator for recovery of approximately low-rank matrices from local measurements corrupted with noise. A tensor-norm regulizer is designed adapting to the local structure. We derive statistical analysis of the estimator over matrix completion and decentralized sketching through applying Maurey's empirical method to tensor products of Banach spaces. The estimator provides a near optimal error bound in a minimax sense and admits a polynomial-time algorithm for these applications.
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