TITLE:
On Accelerated Singular Value Thresholding Algorithm for Matrix Completion
AUTHORS:
Li Wang, Jianfeng Hu, Chuanzhong Chen
KEYWORDS:
Matrix Completion, Singular Value Thresholding, Nemirovski’s Line Search Scheme, Adaptive Line Search
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.21,
December
11,
2014
ABSTRACT: An accelerated singular value thresholding (SVT) algorithm was introduced for matrix completion in a recent paper [1], which applies an adaptive line search scheme and improves the convergence rate from O(1/N) for SVT to O(1/N2), where N is the number of iterations. In this paper, we show that it is the same as the Nemirovski’s approach, and then modify it to obtain an accelerate Nemirovski’s technique and prove the convergence. Our preliminary computational results are very favorable.