Matrix Completion from Fewer Entries

ACO Seminar
Monday, March 23, 2009 - 16:30
2 hours
Skiles 269
Stanford University
Low-rank models are frequently used in machine learning and statistics. An important domain of application is provided by collaborative filtering, whereby a low-rank matrix describes the ratings that a large set of users attribute to a large set of products. The problem is in this case to predict future ratings from a sparse subset currently available. The dataset released for the Netflix challenge provides an ideal testbed for theory and algorithms for learning low-rank matrices. Given M, a random n x n matrix of rank r, we assume that a uniformly random subset E of its entries is observed. We describe an efficient procedure that reconstructs M from |E| = O(rn) observed entries with arbitrarily small root mean square error, whenever M is satisfies an appropriate incoherence condition. If r = O(1), the algorithm reconstructs M exactly from O(n log n) entries. This settles a recent open problem by Candes and Recht. In the process of proving these statements, we obtain a generalization of a celebrated result by Friedman-Kahn-Szemeredi and Feige-Ofek on the spectrum of sparse random matrices. [Based on joint work with R. H. Keshavan and S. Oh]