Title: Harmonic Mean Iteratively Reweighted Least Squares for Low-Rank Matrix Recovery,
Abstract: We propose a new iteratively reweighted least squares (IRLS) algorithm for
the recovery of a matrix $X \in \mathbb{C}^{d_1\times d_2}$ of rank $r
\ll\min(d_1,d_2)$ from incomplete linear observations, solving a sequence of
low complexity linear problems. The easily implementable algorithm, which we
call harmonic mean iteratively reweighted least squares (HM-IRLS), optimizes a
non-convex Schatten-$p$ quasi-norm penalization to promote low-rankness and
carries three major strengths, in particular for the matrix completion setting.
First, we observe a remarkable global convergence behavior of the algorithm's
iterates to the low-rank matrix for relevant, interesting cases, for which any
other state-of-the-art optimization approach fails the recovery. Secondly,
HM-IRLS exhibits an empirical recovery probability close to $1$ even for a
number of measurements very close to the theoretical lower bound $r (d_1 +d_2
-r)$, i.e., already for significantly fewer linear observations than any other
tractable approach in the literature. Thirdly, HM-IRLS exhibits a locally
superlinear rate of convergence (of order $2-p$) if the linear observations
fulfill a suitable null space property. While for the first two properties we
have so far only strong empirical evidence, we prove the third property as our
main theoretical result.