Matrix Estimation by Universal Singular Value Thresholding

• Activity Number: 336
• Type: Invited
• Date/Time: Tuesday, August 11, 2015 : 10:30 AM to 12:20 PM
• Sponsor: IMS
• Author(s): Sourav Chatterjee*
• Companies: Stanford University
• Keywords: Matrix completion ; matrix estimation ; stochastic blockmodel ; latent space model ; low rank matrices ; graphons

Abstract

Consider the problem of estimating the entries of a large matrix, when the observed entries are noisy versions of a small random fraction of the original entries. This problem has received widespread attention in recent times, especially after the pioneering works of Emmanuel Candes and collaborators. This paper introduces a simple estimation procedure, called Universal Singular Value Thresholding (USVT), that works for any matrix that has "a little bit of structure". Surprisingly, this simple estimator achieves the minimax error rate up to a constant factor. The method is applied to solve problems related to low rank matrix estimation, blockmodels, distance matrix completion, latent space models, positive definite matrix completion, graphon estimation, and generalized Bradley-Terry models for pairwise comparison.