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Shuicheng Yan
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Journal Articles
Publisher: Journals Gateway
Neural Computation (2012) 24 (12): 3371–3394.
Published: 01 December 2012
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We address the scalability issues in low-rank matrix learning problems. Usually these problems resort to solving nuclear norm regularized optimization problems (NNROPs), which often suffer from high computational complexities if based on existing solvers, especially in large-scale settings. Based on the fact that the optimal solution matrix to an NNROP is often low rank, we revisit the classic mechanism of low-rank matrix factorization, based on which we present an active subspace algorithm for efficiently solving NNROPs by transforming large-scale NNROPs into small-scale problems. The transformation is achieved by factorizing the large solution matrix into the product of a small orthonormal matrix (active subspace) and another small matrix. Although such a transformation generally leads to nonconvex problems, we show that a suboptimal solution can be found by the augmented Lagrange alternating direction method. For the robust PCA (RPCA) (Candès, Li, Ma, & Wright, 2009 ) problem, a typical example of NNROPs, theoretical results verify the suboptimality of the solution produced by our algorithm. For the general NNROPs, we empirically show that our algorithm significantly reduces the computational complexity without loss of optimality.
Journal Articles
Publisher: Journals Gateway
Neural Computation (2012) 24 (4): 1047–1084.
Published: 01 April 2012
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We investigate Newton-type optimization methods for solving piecewise linear systems (PLSs) with nondegenerate coefficient matrix. Such systems arise, for example, from the numerical solution of linear complementarity problem, which is useful to model several learning and optimization problems. In this letter, we propose an effective damped Newton method, PLS-DN, to find the exact (up to machine precision) solution of nondegenerate PLSs. PLS-DN exhibits provable semiiterative property, that is, the algorithm converges globally to the exact solution in a finite number of iterations. The rate of convergence is shown to be at least linear before termination. We emphasize the applications of our method in modeling, from a novel perspective of PLSs, some statistical learning problems such as box-constrained least squares, elitist Lasso (Kowalski & Torreesani, 2008 ), and support vector machines (Cortes & Vapnik, 1995 ). Numerical results on synthetic and benchmark data sets are presented to demonstrate the effectiveness and efficiency of PLS-DN on these problems.