We study the problem of estimating a low-rank matrix from noisy measurements, with the specific goal of achieving minimax optimal error. In practice, the problem is commonly solved using non-convex gradient descent, due to its ability to scale to large-scale real-world datasets. In theory, non-convex gradient descent is capable of achieving minimax error. But in practice, it often converges extremely slowly, such that it cannot even deliver estimations of modest accuracy within reasonable time. On the other hand, methods that improve the convergence of non-convex gradient descent, through rescaling or preconditioning, also greatly amplify the measurement noise, resulting in estimations that are orders of magnitude less accurate than what is theoretically achievable with minimax optimal error. In this paper, we propose a slight modification to the usual non-convex gradient descent method that remedies the issue of slow convergence, while provably preserving its minimax optimality. Our proposed algorithm has essentially the same per-iteration cost as non-convex gradient descent, but is guaranteed to converge to minimax error at a linear rate that is immune to ill-conditioning. Using our proposed algorithm, we reconstruct a 60 megapixel dataset for a medical imaging application, and observe significantly decreased reconstruction error compared to previous approaches.

本文研究了从噪声测量中估计低秩矩阵的问题，并提出一种修改的非凸梯度下降方法，既能解决慢收敛的问题，又能保持极小值最优性，通过医学成像应用的实验，我们观察到，与先前的方法相比，重建误差显着减小。

通过非凸梯度下降快速且极小化误差地估计低秩矩阵