Recovery of low-rank matrices has recently seen significant activity in many areas of science and engineering, motivated by recent theoretical results for exact reconstruction guarantees and interesting practical applications. A number of methods have been developed for this recovery problem. However, a principled method for choosing the unknown target rank is generally not provided. In this paper, we present novel recovery algorithms for estimating low-rank matrices in matrix completion and robust principal component analysis based on sparse Bayesian learning (SBL) principles. Starting from a matrix factorization formulation and enforcing the low-rank constraint in the estimates as a sparsity constraint, we develop an approach that is very effective in determining the correct rank while providing high recovery performance. We provide connections with existing methods in other similar problems and empirical results and comparisons with current state-of-the-art methods that illustrate the effectiveness of this approach.

本文提出了一种新的基于贝叶斯原则的稀疏学习（SBL）的“矩阵完成”和“鲁棒主成分分析”算法，该方法通过将低秩约束作为稀疏约束来确定正确的秩，并能提供很高的恢复性能。

基于稀疏贝叶斯方法的低秩矩阵估计