An Efficient Method for Convex Constrained Rank Minimization Problems Based on DC Programming

Wanping Yang, Jinkai Zhao and Fengmin Xu

Mathematical Problems in Engineering, 2016, vol. 2016, 1-13

Abstract:

The constrained rank minimization problem has various applications in many fields including machine learning, control, and signal processing. In this paper, we consider the convex constrained rank minimization problem. By introducing a new variable and penalizing an equality constraint to objective function, we reformulate the convex objective function with a rank constraint as a difference of convex functions based on the closed-form solutions, which can be reformulated as DC programming. A stepwise linear approximative algorithm is provided for solving the reformulated model. The performance of our method is tested by applying it to affine rank minimization problems and max-cut problems. Numerical results demonstrate that the method is effective and of high recoverability and results on max-cut show that the method is feasible, which provides better lower bounds and lower rank solutions compared with improved approximation algorithm using semidefinite programming, and they are close to the results of the latest researches.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:7473041

DOI: 10.1155/2016/7473041

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