Mathematical Programming Computation, Volume 6, Number 3, September 2014

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A partial proximal point algorithm for nuclear norm regularized matrix least squares problems

Kaifeng Jiang, Defeng Sun, Kim-Chuan Toh

Abstract


We introduce a partial proximal point algorithm for solving nuclear norm regularized matrix least squares problems with equality and inequality constraints. The inner subproblems, reformulated as a system of semismooth equations, are solved by an inexact smoothing Newton method, which is proved to be quadratically convergent under a constraint non-degeneracy condition, together with the strong semismoothness property of the singular value thresholding operator. Numerical experiments on a variety of problems including those arising from low-rank approximations of transition matrices show that our algorithm is efficient and robust.

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