Abstract: In this paper, a homotopy proximity mapping (HPM) algorithm is proposed to reconstruct low-rank signals from noisy linear measurements of signals or to learn low-rank linear models from observed data. The algorithm adopts a simple proximity mapping of the kernel norm during each iteration, and gradually reduces the regularization parameters of the kernel norm. The experimental results show that HPM algorithm can perform low-rank matrix recovery under noisy measurements, and the recovery results exhibit global linear convergence. In addition, increasing observation values leads to not only more accurate recovery, but also faster convergence.
Keywords: compressed sensing; matrix recovery; homotopy proximity mapping (HPM); linear convergence