Non-Convex Low-Rank Matrix Recovery from Corrupted Random Linear Measurements

摘要

Recent work has demonstrated the effectiveness of gradient descent for recovering low-rank matrices from random linear measurements in a globally convergent manner. However, their performance is highly sensitive in the presence of outliers that may take arbitrary values, which is common in practice. In this paper, we propose a truncated gradient descent algorithm to improve the robustness against outliers, where the truncation is performed to rule out the contributions from samples that deviate significantly from the sample median. A restricted isometry property regarding the sample median is introduced to provide a theoretical footing of the proposed algorithm for the Gaussian orthogonal ensemble. Extensive numerical experiments are provided to validate the superior performance of the proposed algorithm.