Calibrated Elastic Regularization in Matrix Completion[PDF] [BibTeX]
This paper concerns the problem of matrix completion, which is to estimate a matrix from observations in a small subset of indices. We propose a calibrated spectrum elastic net method with a sum of the nuclear and Frobenius penalties and develop an iterative algorithm to solve the convex minimization problem. The iterative algorithm alternates between imputing the missing entries in the incomplete matrix by the current guess and estimating the matrix by a scaled soft-thresholding singular value decomposition of the imputed matrix until the resulting matrix converges. A calibration step follows to correct the bias caused by the Frobenius penalty. Under proper coherence conditions and for suitable penalties levels, we prove that the proposed estimator achieves an error bound of nearly optimal order and in proportion to the noise level. This provides a unified analysis of the noisy and noiseless matrix completion problems. Simulation results are presented to compare our proposal with previous ones.