Low Rank Matrix Completion with Exponential Family Noise

Jean Lafond
; Proceedings of The 28th Conference on Learning Theory, PMLR 40:1224-1243, 2015.

Abstract

The matrix completion problem consists in reconstructing a matrix from a sample of entries, possibly observed with noise. A popular class of estimator, known as nuclear norm penalized estimators, are based on minimizing the sum of a data fitting term and a nuclear norm penalization. Here, we investigate the case where the noise distribution belongs to the exponential family and is sub-exponential. Our framework allows for a general sampling scheme. We first consider an estimator defined as the minimizer of the sum of a log-likelihood term and a nuclear norm penalization and prove an upper bound on the Frobenius prediction risk. The rate obtained improves on previous works on matrix completion for exponential family. When the sampling distribution is known, we propose another estimator and prove an oracle inequality \em w.r.t. the Kullback-Leibler prediction risk, which translates immediately into an upper bound on the Frobenius prediction risk. Finally, we show that all the rates obtained are minimax optimal up to a logarithmic factor.

Cite this Paper


BibTeX
@InProceedings{pmlr-v40-Lafond15, title = {Low Rank Matrix Completion with Exponential Family Noise}, author = {Jean Lafond}, booktitle = {Proceedings of The 28th Conference on Learning Theory}, pages = {1224--1243}, year = {2015}, editor = {Peter Grünwald and Elad Hazan and Satyen Kale}, volume = {40}, series = {Proceedings of Machine Learning Research}, address = {Paris, France}, month = {03--06 Jul}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v40/Lafond15.pdf}, url = {http://proceedings.mlr.press/v40/Lafond15.html}, abstract = {The matrix completion problem consists in reconstructing a matrix from a sample of entries, possibly observed with noise. A popular class of estimator, known as nuclear norm penalized estimators, are based on minimizing the sum of a data fitting term and a nuclear norm penalization. Here, we investigate the case where the noise distribution belongs to the exponential family and is sub-exponential. Our framework allows for a general sampling scheme. We first consider an estimator defined as the minimizer of the sum of a log-likelihood term and a nuclear norm penalization and prove an upper bound on the Frobenius prediction risk. The rate obtained improves on previous works on matrix completion for exponential family. When the sampling distribution is known, we propose another estimator and prove an oracle inequality \em w.r.t. the Kullback-Leibler prediction risk, which translates immediately into an upper bound on the Frobenius prediction risk. Finally, we show that all the rates obtained are minimax optimal up to a logarithmic factor.} }
Endnote
%0 Conference Paper %T Low Rank Matrix Completion with Exponential Family Noise %A Jean Lafond %B Proceedings of The 28th Conference on Learning Theory %C Proceedings of Machine Learning Research %D 2015 %E Peter Grünwald %E Elad Hazan %E Satyen Kale %F pmlr-v40-Lafond15 %I PMLR %J Proceedings of Machine Learning Research %P 1224--1243 %U http://proceedings.mlr.press %V 40 %W PMLR %X The matrix completion problem consists in reconstructing a matrix from a sample of entries, possibly observed with noise. A popular class of estimator, known as nuclear norm penalized estimators, are based on minimizing the sum of a data fitting term and a nuclear norm penalization. Here, we investigate the case where the noise distribution belongs to the exponential family and is sub-exponential. Our framework allows for a general sampling scheme. We first consider an estimator defined as the minimizer of the sum of a log-likelihood term and a nuclear norm penalization and prove an upper bound on the Frobenius prediction risk. The rate obtained improves on previous works on matrix completion for exponential family. When the sampling distribution is known, we propose another estimator and prove an oracle inequality \em w.r.t. the Kullback-Leibler prediction risk, which translates immediately into an upper bound on the Frobenius prediction risk. Finally, we show that all the rates obtained are minimax optimal up to a logarithmic factor.
RIS
TY - CPAPER TI - Low Rank Matrix Completion with Exponential Family Noise AU - Jean Lafond BT - Proceedings of The 28th Conference on Learning Theory PY - 2015/06/26 DA - 2015/06/26 ED - Peter Grünwald ED - Elad Hazan ED - Satyen Kale ID - pmlr-v40-Lafond15 PB - PMLR SP - 1224 DP - PMLR EP - 1243 L1 - http://proceedings.mlr.press/v40/Lafond15.pdf UR - http://proceedings.mlr.press/v40/Lafond15.html AB - The matrix completion problem consists in reconstructing a matrix from a sample of entries, possibly observed with noise. A popular class of estimator, known as nuclear norm penalized estimators, are based on minimizing the sum of a data fitting term and a nuclear norm penalization. Here, we investigate the case where the noise distribution belongs to the exponential family and is sub-exponential. Our framework allows for a general sampling scheme. We first consider an estimator defined as the minimizer of the sum of a log-likelihood term and a nuclear norm penalization and prove an upper bound on the Frobenius prediction risk. The rate obtained improves on previous works on matrix completion for exponential family. When the sampling distribution is known, we propose another estimator and prove an oracle inequality \em w.r.t. the Kullback-Leibler prediction risk, which translates immediately into an upper bound on the Frobenius prediction risk. Finally, we show that all the rates obtained are minimax optimal up to a logarithmic factor. ER -
APA
Lafond, J.. (2015). Low Rank Matrix Completion with Exponential Family Noise. Proceedings of The 28th Conference on Learning Theory, in PMLR 40:1224-1243

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