Accelerated and Inexact Soft-Impute for Large-Scale Matrix and Tensor Completion
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Matrix and tensor completion aim to recover a low-rank matrix / tensor from limited observations and have been commonly used in applications such as recommender systems and multi-relational data mining. A state-of-the-art matrix completion algorithm is Soft-Impute, which exploits the special "sparse plus low-rank" structure of the matrix iterates to allow efficient SVD in each iteration. Though Soft-Impute is a proximal algorithm, it is generally believed that acceleration destroys the special structure and is thus not useful. In this paper, we show that Soft-Impute can indeed be accelerated without comprising this structure. To further reduce the iteration time complexity, we propose an approximate singular value thresholding scheme based on the power method. Theoretical analysis shows that the proposed algorithm still enjoys the fast O(1/T^2) convergence rate of accelerated proximal algorithms. We further extend the proposed algorithm to tensor completion with the scaled latent nuclear norm regularizer. We show that a similar "sparse plus low-rank" structure also exists, leading to low iteration complexity and fast O(1/T^2) convergence rate. Extensive experiments demonstrate that the proposed algorithm is much faster than Soft-Impute and other state-of-the-art matrix and tensor completion algorithms.
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