Nuclear Norm Regularized Least Squares Optimization on Grassmannian Manifolds

This paper aims to address a class of nuclear norm regularized least square (NNLS) problems. By exploiting the underlying low-rank matrix manifold structure, the problem with nuclear norm regularization is cast to a Riemannian optimization problem over matrix manifolds. Compared with existing NNLS algorithms involving singular value decomposition (SVD) of large-scale matrices, our method achieves significant reduction in computational complexity. Moreover, the uniqueness of matrix factorization can be guaranteed by our Grassmannian manifold method. In our solution, we first introduce the bilateral factorization into the original NNLS problem and convert it into a Grassmannian optimization problem by using a linearized technique. Then the conjugate gradient procedure on the Grassmannian manifold is developed for our method with a guarantee of local convergence. Finally, our method can be extended to address the graph regularized problem. Experimental results verified both the efficiency and effectiveness of our method.