Adaptive Low-Rank Matrix Completion.

The low-rank matrix completion problem is fundamental to a number of tasks in data mining, machine learning, and signal processing. This paper considers the problem of adaptive matrix completion in time-varying scenarios. Given a sequence of incomplete and noise-corrupted matrices, the goal is to recover and track the underlying low rank matrices. Motivated from the classical least-mean square (LMS) algorithms for adaptive filtering, three LMS-like algorithms are proposed for estimating and tracking low-rank matrices. Performance of the proposed algorithms is provided in form of nonasymptotic bounds on the tracking mean-square error. Tracking performance of the algorithms is also studied via detailed simulations over real-world datasets. [ABSTRACT FROM PUBLISHER]