Matrix Completion and Matrix Concentration

Transcription

1 Matrix Completion and Matrix Concentration Lester Mackey Collaborators: Ameet Talwalkar, Michael I. Jordan, Richard Y. Chen, Brendan Farrell, Joel A. Tropp, and Daniel Paulin Stanford University UCLA UC Berkeley California Institute of Technology National University of Singapore February 9, 2016 Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

2 Part I Divide-Factor-Combine Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

3 Introduction Motivation: Large-scale Matrix Completion Goal: Estimate a matrix L 0 R m n given a subset of its entries?? ??...? ? 5? Examples Collaborative filtering: How will user i rate movie j? Netflix: 40 million users, 200K movies and television shows Ranking on the web: Is URL j relevant to user i? Google News: millions of articles, 1 billion users Link prediction: Is user i friends with user j? Facebook: 1.5 billion users Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

4 Introduction Motivation: Large-scale Matrix Completion Goal: Estimate a matrix L 0 R m n given a subset of its entries?? ??...? ? 5? State of the art MC algorithms Strong estimation guarantees Plagued by expensive subroutines (e.g., truncated SVD) This talk Present divide and conquer approaches for scaling up any MC algorithm while maintaining strong estimation guarantees Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

5 Matrix Completion Exact Matrix Completion Background Goal: Estimate a matrix L 0 R m n given a subset of its entries Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

6 Matrix Completion Noisy Matrix Completion Background Goal: Given entries from a matrix M = L 0 + Z R m n where Z is entrywise noise and L 0 has rank r m, n, estimate L 0 Good news: L 0 has (m + n)r mn degrees of freedom L 0 = A B Factored form: AB for A R m r and B R n r Bad news: Not all low-rank matrices can be recovered Question: What can go wrong? Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

7 Matrix Completion What can go wrong? Background Entire column missing 1 2? ? ? No hope of recovery! Standard solution: Uniform observation model Assume that the set of s observed entries Ω is drawn uniformly at random: Ω Unif(m, n, s) Can be relaxed to non-uniform row and column sampling (Negahban and Wainwright, 2010) Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

8 Matrix Completion What can go wrong? Background Bad spread of information 1 L = 0 [ 1 ][ ] = Can only recover L if L 11 is observed Standard solution: Incoherence with standard basis (Candès and Recht, 2009) A matrix L = UΣV R m n with rank(l) = r is incoherent if { max i UU e i 2 µr/m Singular vectors are not too skewed: max i VV e i 2 µr/n µr and not too cross-correlated: UV mn (In this literature, it s good to be incoherent) Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

9 Matrix Completion How do we estimate L 0? Background First attempt: minimize A rank(a) subject to (i,j) Ω (A ij M ij ) 2 2. Problem: Computationally intractable! Solution: Solve convex relaxation (Fazel, Hindi, and Boyd, 2001; Candès and Plan, 2010) minimize A A subject to (i,j) Ω (A ij M ij ) 2 2 where A = k σ k(a) is the trace/nuclear norm of A. Questions: Will the nuclear norm heuristic successfully recover L 0? Can nuclear norm minimization scale to large MC problems? Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

10 Matrix Completion Background Noisy Nuclear Norm Heuristic: Does it work? Yes, with high probability. Typical Theorem If L 0 with rank r is incoherent, s rn log 2 (n) entries of M R m n are observed uniformly at random, and ˆL solves the noisy nuclear norm heuristic, then ˆL L 0 F f(m, n) with high probability when M L 0 F. See Candès and Plan (2010); Mackey, Talwalkar, and Jordan (2011); Keshavan, Montanari, and Oh (2010); Negahban and Wainwright (2010) Implies exact recovery in the noiseless setting ( = 0) Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

11 Matrix Completion Background Noisy Nuclear Norm Heuristic: Does it scale? Not quite... Standard interior point methods (Candès and Recht, 2009): O( Ω (m + n) 3 + Ω 2 (m + n) 2 + Ω 3 ) More efficient, tailored algorithms: Singular Value Thresholding (SVT) (Cai, Candès, and Shen, 2010) Augmented Lagrange Multiplier (ALM) (Lin, Chen, Wu, and Ma, 2009) Accelerated Proximal Gradient (APG) (Toh and Yun, 2010) All require rank-k truncated SVD on every iteration Take away: These provably accurate MC algorithms are too expensive for large-scale or real-time matrix completion Question: How can we scale up a given matrix completion algorithm and still retain estimation guarantees? Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

12 Matrix Completion DFC Divide-Factor-Combine (DFC) Our Solution: Divide and conquer 1 Divide M into submatrices. 2 Complete each submatrix in parallel. 3 Combine submatrix estimates, using techniques from randomized low-rank approximation. Advantages Completing a submatrix often much cheaper than completing M Multiple submatrix completions can be carried out in parallel DFC works with any base MC algorithm The right choices of division and recombination yield estimation guarantees comparable to those of the base algorithm Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

13 Matrix Completion DFC DFC-Proj: Partition and Project 1 Randomly partition M into t column submatrices M = [ C 1 C 2 C t ] where each Ci R m l 2 Complete the submatrices in parallel to obtain [Ĉ1 Ĉ 2 Ĉ t ] Reduced cost: Expect t-fold speed-up per iteration Parallel computation: Pay cost of one cheaper MC 3 Project submatrices onto a single low-dimensional column space Estimate column space of L 0 with column space of Ĉ1 ˆL proj ] = Ĉ1Ĉ+ 1 [Ĉ1 Ĉ 2 Ĉ t Common technique for randomized low-rank approximation (Frieze, Kannan, and Vempala, 1998) Minimal cost: O(mk 2 + lk 2 ) where k = rank(ˆl proj ) 4 Ensemble: Project onto column space of each Ĉj and average Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

14 Matrix Completion DFC: Does it work? DFC Yes, with high probability. Theorem (Mackey, Talwalkar, and Jordan, 2014b) If L 0 with rank r is incoherent and s = ω(r 2 n log 2 (n)/ɛ 2 ) entries of M R m n are observed uniformly at random, then l = o(n) random columns suffice to have ˆL proj L 0 F (2 + ɛ)f(m, n) with high probability when M L 0 F and the noisy nuclear norm heuristic is used as a base algorithm. Can sample vanishingly small fraction of columns (l/n 0) Implies exact recovery for noiseless ( = 0) setting Analysis streamlined by matrix Bernstein inequality Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

15 Matrix Completion DFC: Does it work? DFC Yes, with high probability. Proof Ideas: 1 If L 0 is incoherent (has good spread of information), its partitioned submatrices are incoherent w.h.p. 2 Each submatrix has sufficiently many observed entries w.h.p. Submatrix completion succeeds 3 Random submatrix captures the full column space of L 0 w.h.p. Analysis builds on randomized l 2 regression work of Drineas, Mahoney, and Muthukrishnan (2008) Column projection succeeds Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

16 Matrix Completion DFC Noisy Recovery Error Simulations MC Proj 10% Proj Ens 10% Base MC RMSE % revealed entries Figure : Recovery error of DFC relative to base algorithm (APG) with m = 10K and r = 10. Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

17 DFC Speed-up Matrix Completion Simulations Proj 10% Proj Ens 10% Base MC MC time (s) m x 10 4 Figure : Speed-up over base algorithm (APG) for random matrices with r = 0.001m and 4% of entries revealed. Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

18 Matrix Completion Application: Collaborative filtering CF Task: Given a sparsely observed matrix of user-item ratings, predict the unobserved ratings Issues Full-rank rating matrix Noisy, non-uniform observations The Data Netflix Prize Dataset million ratings in {1,..., 5} 17,770 movies, 480,189 users 1 Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

19 Matrix Completion Application: Collaborative filtering CF Task: Predict unobserved user-item ratings Netflix Method RMSE Time Base method (APG) s DFC-Proj-25% s DFC-Proj-10% s DFC-Proj-Ens-25% s DFC-Proj-Ens-10% s Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

20 Future Directions Future Directions New Applications and Datasets Practical structured recovery problems with large-scale or real-time requirements Video background modeling via robust matrix factorization (Mackey, Talwalkar, and Jordan, 2014b) Image tagging / video event detection via subspace segmentation (Talwalkar, Mackey, Mu, Chang, and Jordan, 2013) New Divide-and-Conquer Strategies Other ways to reduce computation while preserving accuracy More extensive use of ensembling Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

21 Future Directions DFC-Nys: Generalized Nyström Decomposition 1 Choose a random column submatrix C R m l and a random row submatrix R R d n from M. Call their intersection W. [ ] [ ] W M12 W M = C = R = [W M M 21 M 22 M 12 ] 21 2 Recover the low rank components of C and R in parallel to obtain Ĉ and ˆR 3 Recover L 0 from Ĉ, ˆR, and their intersection Ŵ ˆL nys = ĈŴ+ ˆR Generalized Nyström method (Goreinov, Tyrtyshnikov, and Zamarashkin, 1997) Minimal cost: O(mk 2 + lk 2 + dk 2 ) where k = rank(ˆl nys ) 4 Ensemble: Run p times in parallel and average estimates Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

22 Future Directions Future Directions New Applications and Datasets Practical structured recovery problems with large-scale or real-time requirements New Divide-and-Conquer Strategies Other ways to reduce computation while preserving accuracy More extensive use of ensembling New Theory Analyze statistical implications of divide and conquer algorithms Trade-off between statistical and computational efficiency Impact of ensembling Developing suite of matrix concentration inequalities to aid in the analysis of randomized algorithms with matrix data Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

23 Part II Stein s Method for Matrix Concentration Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

24 Motivation Concentration Inequalities Matrix concentration P{ X E X t} δ P{λ max (X E X) t} δ Non-asymptotic control of random matrices with complex distributions Applications Matrix completion from sparse random measurements (Gross, 2011; Recht, 2011; Negahban and Wainwright, 2010; Mackey, Talwalkar, and Jordan, 2014b) Randomized matrix multiplication and factorization (Drineas, Mahoney, and Muthukrishnan, 2008; Hsu, Kakade, and Zhang, 2011) Convex relaxation of robust or chance-constrained optimization (Nemirovski, 2007; So, 2011; Cheung, So, and Wang, 2011) Random graph analysis (Christofides and Markström, 2008; Oliveira, 2009) Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

25 Motivation Concentration Inequalities Matrix concentration P{λ max (X E X) t} δ Difficulty: Matrix multiplication is not commutative e X+Y e X e Y e Y e X Past approaches (Ahlswede and Winter, 2002; Oliveira, 2009; Tropp, 2011) Rely on deep results from matrix analysis Apply to sums of independent matrices and matrix martingales Our work (Mackey, Jordan, Chen, Farrell, and Tropp, 2014a; Paulin, Mackey, and Tropp, 2016) Stein s method of exchangeable pairs (1972), as advanced by Chatterjee (2007) for scalar concentration Improved exponential tail inequalities (Hoeffding, Bernstein, Bounded differences) Polynomial moment inequalities (Khintchine, Rosenthal) Dependent sums and more general matrix functionals Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

26 Roadmap Motivation 4 Motivation 5 Stein s Method Background and Notation 6 Exponential Tail Inequalities 7 Polynomial Moment Inequalities 8 Extensions Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

27 Notation Background Hermitian matrices: H d = {A C d d : A = A } All matrices in this talk are Hermitian. Maximum eigenvalue: λ max ( ) Trace: tr B, the sum of the diagonal entries of B Spectral norm: B, the maximum singular value of B Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

28 Matrix Stein Pair Background Definition (Exchangeable Pair) (Z, Z ) is an exchangeable pair if (Z, Z ) d = (Z, Z). Definition (Matrix Stein Pair) Let (Z, Z ) be an exchangeable pair, and let Ψ : Z H d be a measurable function. Define the random matrices X := Ψ(Z) and X := Ψ(Z ). (X, X ) is a matrix Stein pair with scale factor α (0, 1] if E[X Z] = (1 α)x. Matrix Stein pairs are exchangeable pairs Matrix Stein pairs always have zero mean Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

29 Background Method of Exchangeable Pairs Why Matrix Stein pairs? Furnish more convenient expressions for moments of X Lemma (Method of Exchangeable Pairs) Let (X, X ) be a matrix Stein pair with scale factor α and F : H d H d a measurable function with E (X X )F (X) <. Then E[X F (X)] = 1 2α E[(X X )(F (X) F (X ))]. (1) Intuition Expressions like E [ Xe θx] and E[X p ] arise naturally in concentration settings Eq. 1 allows us to bound these integrals using the smoothness properties of F and the discrepancy X X Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

30 Background The Conditional Variance Why Matrix Stein pairs? Give rise to a measure of spread of the distribution of X Definition (Conditional Variance) Suppose that (X, X ) is a matrix Stein pair with scale factor α, constructed from the exchangeable pair (Z, Z ). The conditional variance is the random matrix X := X (Z) := 1 2α E [ (X X ) 2 Z ]. X is a stochastic estimate for the variance, E X 2 = 1 2α E[(X X ) 2 ] = E X Take-home Message Control over X yields control over λ max (X) Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

31 Exponential Tail Inequalities Exponential Concentration for Random Matrices Theorem (Mackey, Jordan, Chen, Farrell, and Tropp, 2014a) Let (X, X ) be a matrix Stein pair with X H d. Suppose that X cx + v I almost surely for c, v 0. Then, for all t 0, { } t 2 P{λ max (X) t} d exp. 2v + 2ct Control over the conditional variance X yields Gaussian tail for λ max (X) for small t, exponential tail for large t When d = 1, reduces to scalar result of Chatterjee (2007) The dimensional factor d cannot be removed Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

32 Exponential Tail Inequalities Matrix Hoeffding Inequality Corollary (Mackey, Jordan, Chen, Farrell, and Tropp, 2014a) Let X = k Y k for independent matrices in H d satisfying E Y k = 0 and Yk 2 A 2 k for deterministic matrices (A k ) k 1. Define the scale parameter σ 2 :=. Then, for all t 0, ( P {λ max k Y k ) k A2 k } t d e t2 /2σ 2. Improves upon the matrix Hoeffding inequality of Tropp (2011) Optimal constant 1/2 in the exponent Can replace scale parameter with σ 2 = 1 ( ) 2 k A 2 k + E Yk 2 Tighter than classical scalar Hoeffding inequality (1963) Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

33 Exponential Tail Inequalities Exponential Concentration: Proof Sketch 1. Matrix Laplace transform method (Ahlswede & Winter, 2002) Relate tail probability to the trace of the mgf of X where m(θ) := E tr e θx. How to bound the trace mgf? P{λ max (X) t} inf θ>0 e θt m(θ) Past approaches: Golden-Thompson, Lieb s concavity theorem Chatterjee s strategy for scalar concentration Control mgf growth by bounding derivative m (θ) = E tr Xe θx for θ R. Perfectly suited for rewriting using exchangeable pairs! Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

34 Exponential Tail Inequalities Exponential Concentration: Proof Sketch 2. Method of Exchangeable Pairs Rewrite the derivative of the trace mgf m (θ) = E tr Xe θx = 1 2α E tr [ (X X ) ( e θx e θx )]. Goal: Use the smoothness of F (X) = e θx to bound the derivative Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

35 Exponential Tail Inequalities Mean Value Trace Inequality Lemma (Mackey, Jordan, Chen, Farrell, and Tropp, 2014a) Suppose that g : R R is a weakly increasing function and that h : R R is a function with convex derivative h. For all matrices A, B H d, it holds that tr[(g(a) g(b)) (h(a) h(b))] 1 2 tr[(g(a) g(b)) (A B) (h (A) + h (B))]. 1 Standard matrix functions: If g : R R and A := Q λ... Q, then g(λ 1 ) g(a) := Q λ d... Q g(λd) For exponential concentration we let g(a) = A and h(b) = e θb Inequality does not hold without the trace Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

36 Exponential Tail Inequalities Exponential Concentration: Proof Sketch 3. Mean Value Trace Inequality Bound the derivative of the trace mgf m (θ) = 1 2α E tr [ (X X ) ( e θx e θx )] θ 4α E tr [ (X X ) 2 (e θx + e θx )] = θ 2α E tr [ (X X ) 2 e θx] [ 1 = θ E tr 2α E [ (X X ) 2 Z ] ] e θx = θ E tr [ X e θx]. Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

37 Exponential Tail Inequalities Exponential Concentration: Proof Sketch 3. Mean Value Trace Inequality Bound the derivative of the trace mgf m (θ) θ E tr [ X e θx]. 4. Conditional Variance Bound: X cx + v I Yields differential inequality m (θ) cθ E tr [ X e θx] + vθ E tr [ e θx] = cθ m (θ) + vθ m(θ). Solve to bound m(θ) and thereby bound { t 2 P{λ max (X) t} inf θ>0 e θt m(θ) d exp 2v + 2ct }. Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

38 Polynomial Moment Inequalities Polynomial Moments for Random Matrices Theorem (Mackey, Jordan, Chen, Farrell, and Tropp, 2014a) Let p = 1 or p 1.5. Suppose that (X, X ) is a matrix Stein pair where E X 2p 2p <. Then ( E X 1/2p ( 2p) 2p 1 E X p 1/2p. p) Moral: The conditional variance controls the moments of X Generalizes Chatterjee s version (2007) of the scalar Burkholder-Davis-Gundy inequality (Burkholder, 1973) See also Pisier & Xu (1997); Junge & Xu (2003, 2008) Proof techniques mirror those for exponential concentration Also holds for infinite-dimensional Schatten-class operators Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

39 Polynomial Moment Inequalities Application: Matrix Khintchine Inequality Corollary (Mackey, Jordan, Chen, Farrell, and Tropp, 2014a) Let (ε k ) k 1 be an independent sequence of Rademacher random variables and (A k ) k 1 be a deterministic sequence of Hermitian matrices. Then if p = 1 or p 1.5, ( E ) ε 2p 1/2p ka k ( 1/2 2p 1 k k) 2p k 2p A2. Noncommutative Khintchine inequality (Lust-Piquard, 1986; Lust-Piquard and Pisier, 1991) is a dominant tool in applied matrix analysis e.g., Used in analysis of column sampling and projection for approximate SVD (Rudelson and Vershynin, 2007) Stein s method offers an unusually concise proof The constant 2p 1 is within e of optimal Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

40 Extensions Extensions Refined Exponential Concentration Relate trace mgf of conditional variance to trace mgf of X Yields matrix generalization of classical Bernstein inequality Offers tool for unbounded random matrices General Complex Matrices Map any matrix B C d 1 d 2 [ to a Hermitian ] matrix via dilation 0 B D(B) := B H d 1+d 2. 0 Preserves spectral information: λ max (D(B)) = B Dependent Sequences Combinatorial matrix statistics (e.g., sampling w/o replacement) Dependent bounded differences inequality for matrices General Exchangeable Matrix Pairs (Paulin, Mackey, and Tropp, 2016) Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

41 References I Extensions Ahlswede, R. and Winter, A. Strong converse for identification via quantum channels. IEEE Trans. Inform. Theory, 48(3): , Mar Burkholder, D. L. Distribution function inequalities for martingales. Ann. Probab., 1:19 42, doi: /aop/ Cai, J. F., Candès, E. J., and Shen, Z. A singular value thresholding algorithm for matrix completion. SIAM Journal on Optimization, 20(4), Candès, E. J. and Recht, B. Exact matrix completion via convex optimization. Foundations of Computational Mathematics, 9 (6): , Candès, E.J. and Plan, Y. Matrix completion with noise. Proceedings of the IEEE, 98(6): , Chatterjee, S. Stein s method for concentration inequalities. Probab. Theory Related Fields, 138: , Cheung, S.-S., So, A. Man-Cho, and Wang, K. Chance-constrained linear matrix inequalities with dependent perturbations: a safe tractable approximation approach. Available at Christofides, D. and Markström, K. Expansion properties of random cayley graphs and vertex transitive graphs via matrix martingales. Random Struct. Algorithms, 32(1):88 100, Drineas, P., Mahoney, M. W., and Muthukrishnan, S. Relative-error CUR matrix decompositions. SIAM Journal on Matrix Analysis and Applications, 30: , Fazel, M., Hindi, H., and Boyd, S. P. A rank minimization heuristic with application to minimum order system approximation. In In Proceedings of the 2001 American Control Conference, pp , Frieze, A., Kannan, R., and Vempala, S. Fast Monte-Carlo algorithms for finding low-rank approximations. In Foundations of Computer Science, Goreinov, S. A., Tyrtyshnikov, E. E., and Zamarashkin, N. L. A theory of pseudoskeleton approximations. Linear Algebra and its Applications, 261(1-3):1 21, Gross, D. Recovering low-rank matrices from few coefficients in any basis. IEEE Trans. Inform. Theory, 57(3): , Mar Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

42 References II Extensions Hoeffding, W. Probability inequalities for sums of bounded random variables. Journal of the American Statistical Association, 58(301):13 30, Hsu, D., Kakade, S. M., and Zhang, T. Dimension-free tail inequalities for sums of random matrices. Available at arxiv: , Junge, M. and Xu, Q. Noncommutative Burkholder/Rosenthal inequalities. Ann. Probab., 31(2): , Junge, M. and Xu, Q. Noncommutative Burkholder/Rosenthal inequalities II: Applications. Israel J. Math., 167: , Keshavan, R. H., Montanari, A., and Oh, S. Matrix completion from noisy entries. Journal of Machine Learning Research, 99: , Lin, Z., Chen, M., Wu, L., and Ma, Y. The augmented lagrange multiplier method for exact recovery of corrupted low-rank matrices. UIUC Technical Report UILU-ENG , Lust-Piquard, F. Inégalités de Khintchine dans C p (1 < p < ). C. R. Math. Acad. Sci. Paris, 303(7): , Lust-Piquard, F. and Pisier, G. Noncommutative Khintchine and Paley inequalities. Ark. Mat., 29(2): , Mackey, L., Talwalkar, A., and Jordan, M. I. Divide-and-conquer matrix factorization. In Shawe-Taylor, J., Zemel, R. S., Bartlett, P. L., Pereira, F. C. N., and Weinberger, K. Q. (eds.), Advances in Neural Information Processing Systems 24, pp Mackey, L., Jordan, M. I., Chen, R. Y., Farrell, B., and Tropp, J. A. Matrix concentration inequalities via the method of exchangeable pairs. The Annals of Probability, 42(3): , 2014a. Mackey, L., Talwalkar, A., and Jordan, M. I. Distributed matrix completion and robust factorization. Journal of Machine Learning Research, 2014b. In press. Negahban, S. and Wainwright, M. J. Restricted strong convexity and weighted matrix completion: Optimal bounds with noise. arxiv: v2[cs.it], Nemirovski, A. Sums of random symmetric matrices and quadratic optimization under orthogonality constraints. Math. Program., 109: , January ISSN doi: /s URL Mackey (Stanford) Matrix Completion and Concentration February 9, / 43

43 References III Extensions Oliveira, R. I. Concentration of the adjacency matrix and of the Laplacian in random graphs with independent edges. Available at arxiv: , Nov Paulin, D., Mackey, L., and Tropp, J. A. Efron-Stein Inequalities for Random Matrices. The Annals of Probability, to appear Pisier, G. and Xu, Q. Non-commutative martingale inequalities. Comm. Math. Phys., 189(3): , Recht, B. Simpler approach to matrix completion. J. Mach. Learn. Res., 12: , Rudelson, M. and Vershynin, R. Sampling from large matrices: An approach through geometric functional analysis. J. Assoc. Comput. Mach., 54(4):Article 21, 19 pp., Jul (electronic). So, A. Man-Cho. Moment inequalities for sums of random matrices and their applications in optimization. Math. Program., 130 (1): , Stein, C. A bound for the error in the normal approximation to the distribution of a sum of dependent random variables. In Proc. 6th Berkeley Symp. Math. Statist. Probab., Berkeley, Univ. California Press. Talwalkar, Ameet, Mackey, Lester, Mu, Yadong, Chang, Shih-Fu, and Jordan, Michael I. Distributed low-rank subspace segmentation. December Toh, K. and Yun, S. An accelerated proximal gradient algorithm for nuclear norm regularized least squares problems. Pacific Journal of Optimization, 6(3): , Tropp, J. A. User-friendly tail bounds for sums of random matrices. Found. Comput. Math., August Mackey (Stanford) Matrix Completion and Concentration February 9, / 43