Summary: Low-rank matrix estimation is a canonical problem that finds numerous applications in signal processing, machine learning and imaging science. A popular approach in practice is to factorize the matrix into two compact low-rank factors, and then optimize these factors directly via simple iterative methods such as gradient descent and alternating minimization. Despite nonconvexity, recent literatures have shown that these simple heuristics in fact achieve linear convergence when initialized properly for a growing number of problems of interest. However, upon closer examination, existing approaches can still be computationally expensive especially for ill-conditioned matrices: the convergence rate of gradient descent depends linearly on the condition number of the low-rank matrix, while the per-iteration cost of alternating minimization is often prohibitive for large matrices.
The goal of this paper is to set forth a competitive algorithmic approach dubbed Scaled Gradient Descent (ScaledGD) which can be viewed as preconditioned or diagonally-scaled gradient descent, where the preconditioners are adaptive and iteration-varying with a minimal computational overhead. With tailored variants for low-rank matrix sensing, robust principal component analysis and matrix completion, we theoretically show that ScaledGD achieves the best of both worlds: it converges linearly at a rate independent of the condition number of the low-rank matrix similar as alternating minimization, while maintaining the low per-iteration cost of gradient descent. Our analysis is also applicable to general loss functions that are restricted strongly convex and smooth over low-rank matrices. To the best of our knowledge, ScaledGD is the first algorithm that provably has such properties over a wide range of low-rank matrix estimation tasks. At the core of our analysis is the introduction of a new distance function that takes account of the preconditioners when measuring the distance between the iterates and the ground truth. Finally, numerical examples are provided to demonstrate the effectiveness of ScaledGD in accelerating the convergence rate of ill-conditioned low-rank matrix estimation in a wide number of applications.