Scalable Nuclear-norm Minimization by Subspace Pursuit Proximal Riemannian Gradient

Trace-norm regularization plays a vital role in many learning tasks, such as low-rank matrix recovery (MR), and low-rank representation (LRR). Solving this problem directly can be computationally expensive due to the unknown rank of variables or large-rank singular value decompositions (SVDs). To address this, we propose a proximal Riemannian gradient (PRG) scheme which can efficiently solve trace-norm regularized problems defined on real-algebraic variety M≤r of real matrices of rank at most r. Based on PRG, we further present a simple and novel subspace pursuit (SP) paradigm for general trace-norm regularized problems without the explicit rank constraint M≤r. The proposed paradigm is very scalable by avoiding large-rank SVDs. Empirical studies on several tasks, such as matrix completion and LRR based subspace clustering, demonstrate the superiority of the proposed paradigms over existing methods.