## Harmonic Mean Iteratively Reweighted Least Squares for Low-Rank Matrix Recovery

** Christian Kümmerle, Juliane Sigl**; 19(47):1−49, 2018.

### Abstract

We propose a new iteratively reweighted least squares (IRLS) algorithm for the recovery of a matrix $X \in \mathbb{C}^{d_1\times d_2}$ of rank $r \ll\min(d_1,d_2)$ from incomplete linear observations, solving a sequence of low complexity linear problems. The easily implementable algorithm, which we call harmonic mean iteratively reweighted least squares (`HM-IRLS`

), optimizes a non-convex Schatten-$p$ quasi-norm penalization to promote low-rankness and carries three major strengths, in particular for the matrix completion setting. First, we observe a remarkable {global convergence behavior} of the algorithm's iterates to the low-rank matrix for relevant, interesting cases, for which any other state-of-the-art optimization approach fails the recovery. Secondly, `HM-IRLS`

exhibits an empirical recovery probability close to $1$ even for a number of measurements very close to the theoretical lower bound $r (d_1 +d_2 -r)$, i.e., already for significantly fewer linear observations than any other tractable approach in the literature. Thirdly, `HM-IRLS`

exhibits a locally superlinear rate of convergence (of order $2-p$) if the linear observations fulfill a suitable null space property. While for the first two properties we have so far only strong empirical evidence, we prove the third property as our main theoretical result.
[abs][pdf][bib] [github.com]

© JMLR 2018. |