A Convergent Gradient Descent Algorithm for Rank Minimization and Semidefinite Programming from Random Linear Measurements

Part of Advances in Neural Information Processing Systems 28 (NIPS 2015)

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Qinqing Zheng, John Lafferty


We propose a simple, scalable, and fast gradient descent algorithm to optimize a nonconvex objective for the rank minimization problem and a closely related family of semidefinite programs. With $O(r^3 \kappa^2 n \log n)$ random measurements of a positive semidefinite $n\times n$ matrix of rank $r$ and condition number $\kappa$, our method is guaranteed to converge linearly to the global optimum.