Convergence of projected Landweber iteration for matrix rank minimization.

Abstract: In this paper, we study the performance of the projected Landweber iteration (PLW) for the general low rank matrix recovery. The PLW was first proposed by Zhang and Chen (2010) [43] based on the sparse recovery algorithm APG (Daubechies et al., 2008) [14] in the matrix completion setting, and numerical experiments have been given to show its efficiency (Zhang and Chen, 2010) [43]. In this paper, we focus on providing a convergence rate analysis of the PLW in the general setting of low rank matrix recovery with the affine transform having the matrix restricted isometry property. We show robustness of the algorithm to noise with a strong geometric convergence rate even for noisy measurements provided that the affine transform satisfies a matrix restricted isometry property condition. [Copyright &y& Elsevier]