Nested Alternating Direction Method of Multipliers to Low-Rank and Sparse-Column Matrices Recovery

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  • 1. College of Mathematics and Statistics, Henan University, Kaifeng 475000, China; 2. College of Mathematics and Statistics, Henan University of Science and Technology, Luoyang 471023, China; 3. College of Software, Henan University, Kaifeng 475000, China.
SHEN Nan (1989-), female, native of Kaifeng, Henan, master of Henan University, engages in mathematical programming; JIN Zheng-fen (1987-), female, native of Luoyang, Henan, lecturer of Henan University of Science and Technology, engages in mathematical programming; Wang Qiu-yu (1978-), female, native of Puyang, Henan, lecturer of Henan University, engages in mathematical programming. Corresponding author: WANG Qiu-yu.

Received date: 2020-12-17

  Online published: 2021-03-30

Supported by

Supported by the National Natural Science Foundation of China (Grant No. 11971149,
11871381); Natural Science Foundation of Henan Province for Youth (Grant No. 202300410146).

Abstract

The task of dividing corrupted-data into their respective subspaces can be well
illustrated, both theoretically and numerically, by recovering low-rank and sparse-column
components of a given matrix. Generally, it can be characterized as a matrix and a
`2,1-norm involved convex minimization problem. However, solving the resulting problem
is full of challenges due to the non-smoothness of the objective function. One of the
earliest solvers is an 3-block alternating direction method of multipliers (ADMM) which
updates each variable in a Gauss-Seidel manner. In this paper, we present three variants
of ADMM for the 3-block separable minimization problem. More preciously, whenever
one variable is derived, the resulting problems can be regarded as a convex minimization
with 2 blocks, and can be solved immediately using the standard ADMM. If the inner
iteration loops only once, the iterative scheme reduces to the ADMM with updates in a
Gauss-Seidel manner. If the solution from the inner iteration is assumed to be exact, the
convergence can be deduced easily in the literature. The performance comparisons with a
couple of recently designed solvers illustrate that the proposed methods are effective and
competitive.

Cite this article

SHEN Nan , JIN Zheng-fen , WANG Qiu-yu . Nested Alternating Direction Method of Multipliers to Low-Rank and Sparse-Column Matrices Recovery[J]. Chinese Quarterly Journal of Mathematics, 2021 , 36(1) : 90 -110 . DOI: 10.13371/j.cnki.chin.q.j.m.2021.01.007

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