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Dynamic Matrix Recovery

delete2024-02-21
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OA
AI
Z
Ziyuan Chen
杨颖 封面图
杨颖 (Ying Yang)
F
Fang Yao *
DOI:10.1080/01621459.2023.2297468delete
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摘要

摘要

En 中文
Matrix recovery from sparse observations is an extensively studied topic emerging in various applications, such as recommendation system and signal processing, which includes the matrix completion and compressed sensing models as special cases. In this article, we propose a general framework for dynamic matrix recovery of low-rank matrices that evolve smoothly over time. We start from the setting that the observations are independent across time, then extend to the setting that both the design matrix and noise possess certain temporal correlation via modified concentration inequalities. By pooling neighboring observations, we obtain sharp estimation error bounds of both settings, showing the influence of the underlying smoothness, the dependence and effective samples. We propose a dynamic fast iterative shrinkage-thresholding algorithm that is computationally efficient, and characterize the interplay between algorithmic and statistical convergence. Simulated and real data examples are provided to support such findings. Supplementary materials for this article are available online.
Keyword:
Compressed sensing
Local smoothing
Low rank
Matrix completion

期刊

J
Journal of the American Statistical Association
IF:
3
论文数:
5.2K
被引数:
4.8W

机构

P
peking university
学者数:
11.9W
论文数: 8.7W
被引数: 146
C
chinese academy of sciences
学者数:
56.7W
论文数: 45.0W
被引数: 704
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