Stable low-rank matrix recovery via null space properties

• Published in: Information and inference Vol. 5; no. 4; pp. 405 - 441
• Main Authors: Kabanava, Maryia, Kueng, Richard, Rauhut, Holger, Terstiege, Ulrich
• Format: Journal Article
• Language: English
• Published: Oxford University Press 01.12.2016
• Subjects: low-rank matrix recovery; positive semidefinite least squares problem; phase retrieval; convex optimization; complex projective designs; nuclear norm minimization; random measurements; quantum state tomography
• DOI: 10.1093/imaiai/iaw014
• ISSN: 2049-8764

The problem of recovering a matrix of low rank from an incomplete and possibly noisy set of linear measurements arises in a number of areas. In order to derive rigorous recovery results, the measurement map is usually modelled probabilistically. We derive sufficient conditions on the minimal amount of measurements ensuring recovery via convex optimization. We establish our results via certain properties of the null space of the measurement map. In the setting where the measurements are realized as Frobenius inner products with independent standard Gaussian random matrices, we show that $10r(n_1+n_2)$ measurements are enough to uniformly and stably recover an $n_1\times n_2$ matrix of rank at most $r$ . We then significantly generalize this result by only requiring independent mean zero, variance one entries with four finite moments at the cost of replacing $10$ by some universal constant. We also study the case of recovering Hermitian rank- $r$ matrices from measurement matrices proportional to rank-one projectors. For $m\geq Crn$ rank-one projective measurements onto independent standard Gaussian vectors, we show that nuclear norm minimization uniformly and stably reconstructs Hermitian rank- $r$ matrices with high probability. Next, we partially de-randomize this by establishing an analogous statement for projectors onto independent elements of a complex projective 4-designs at the cost of a slightly higher sampling rate $m\geq Crn\log n$ . Moreover, if the Hermitian matrix to be recovered is known to be positive semidefinite, then we show that the nuclear norm minimization approach may be replaced by minimizing the $\ell_q$ -norm of the residual subject to the positive semidefinite constraint (e.g. by a positive semidefinite least squares problem). Then no estimate of the noise level is required a priori. We discuss applications in quantum physics and the phase retrieval problem.