Matrix Completion via Convex Optimization: Theory and Algorithms

author: Emmanuel Candes, Department of Statistics, Stanford University
published: July 30, 2009,   recorded: June 2009,   views: 24304

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This talk considers a problem of considerable practical interest: the recovery of a data matrix from a sampling of its entries. In partially filled out surveys, for instance, we would like to infer the many missing entries. In the area of recommender systems, users submit ratings on a subset of entries in a database, and the vendor provides recommendations based on the user's preferences. Because users only rate a few items, we would like to infer their preference for unrated items (this is the famous Netflix problem). Formally, suppose that we observe m entries selected uniformly at random from a matrix. Can we complete the matrix and recover the entries that we have not seen? We show that perhaps surprisingly, one can recover low-rank matrices exactly from what appear to be highly incomplete sets of sampled entries; that is, from a minimally sampled set of entries. Further, perfect recovery is possible by solving a simple convex optimization program, namely, a convenient semidefinite program. A surprise is that our methods are optimal and succeed as soon as recovery is possible by any method whatsoever, no matter how intractable; this result hinges on powerful techniques in probability theory. Time permitting, we will also present a very efficient algorithm based on iterative singular value thresholding, which can complete matrices with about a billion entries in a matter of minutes on a personal computer.

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