Timezone: »

Regularization-Free Estimation in Trace Regression with Symmetric Positive Semidefinite Matrices
Martin Slawski · Ping Li · Matthias Hein

Mon Dec 07 04:00 PM -- 08:59 PM (PST) @ 210 C #94

Trace regression models have received considerable attention in the context of matrix completion, quantum state tomography, and compressed sensing. Estimation of the underlying matrix from regularization-based approaches promoting low-rankedness, notably nuclear norm regularization, have enjoyed great popularity. In this paper, we argue that such regularization may no longer be necessary if the underlying matrix is symmetric positive semidefinite (spd) and the design satisfies certain conditions. In this situation, simple least squares estimation subject to an spd constraint may perform as well as regularization-based approaches with a proper choice of regularization parameter, which entails knowledge of the noise level and/or tuning. By contrast, constrained least squaresestimation comes without any tuning parameter and may hence be preferred due to its simplicity.

Author Information

Martin Slawski (Rutgers University)
Ping Li (Rugters University)
Matthias Hein (Saarland University)

More from the Same Authors