Efficient Alternating Minimization with Applications to Weighted Low Rank Approximation

Abstract: Weighted low rank approximation is a fundamental problem in numerical linear algebra, and it has many applications in machine learning. Given a matrix $M \in \mathbb{R}^{n \times n}$, a non-negative weight matrix $W \in \mathbb{R}_{\geq 0}^{n \times n}$, a parameter $k$, the goal is to output two matrices $X,Y\in \mathbb{R}^{n \times k}$ such that $| W \circ (M - X Y^\top) |_F$ is minimized, where $\circ$ denotes the Hadamard product. It naturally generalizes the well-studied low rank matrix completion problem. Such a problem is known to be NP-hard and even hard to approximate assuming the Exponential Time Hypothesis [GG11, RSW16]. Meanwhile, alternating minimization is a good heuristic solution for weighted low rank approximation. In particular, [LLR16] shows that, under mild assumptions, alternating minimization does provide provable guarantees. In this work, we develop an efficient and robust framework for alternating minimization that allows the alternating updates to be computed approximately. For weighted low rank approximation, this improves the runtime of [LLR16] from $|W|_0k^2$ to $|W|_0 k$ where $|W|_0$ denotes the number of nonzero entries of the weight matrix. At the heart of our framework is a high-accuracy multiple response regression solver together with a robust analysis of alternating minimization.