Harmonic Mean Iteratively Reweighted Least Squares for low-rank matrix recovery

We propose a new Iteratively Reweighted Least Squares (IRLS) algorithm for the problem of recovering a matrix X ∈ ℝ
^{d1 × d2}
of rank r ≪ min(d
₁
, d
₂
) from incomplete linear observations, solving a sequence of quadratic problems. The easily implementable algorithm, which we call Harmonic Mean Iteratively Reweighted Least Squares (HM-IRLS), is superior compared to state-of-the-art algorithms for the low-rank recovery problem in several performance aspects. More specifically, the strategy HM-IRLS uses to optimize a non-convex Schatten-p penalization to promote low-rankness carries three major strengths, in particular for the matrix completion setting. First, we show empirically that, starting from a trivial initialization, it converges globally to a low-rank minimizer of the non-convex Schatten-p objective function for a large number of interesting cases, for which other (non-)convex optimization approaches fail to recover a low-rank matrix. Secondly, as a main theoretical result, we prove that HM-IRLS, unlike other IRLS variants, exhibits a locally superlinear rate of convergence if the linear observations fulfill a suitable null space property. This rate is of order 2 - p, depending on the non-convexity parameter p, and thus arbitrarily close to quadratic for p <;<; 1, which is accurately confirmed by our numerical experiments. Thirdly, our experiments show that HM-IRLS exhibits an empirical recovery probability close to 1 even for very close to optimal sample complexities, i.e., already for significantly fewer linear observations than any other tractable approach in the literature.