Sketchy decisions: Low-rank matrix optimization with optimal storage

Wednesday, April 26, 2017 -
2:30pm to 3:30pm

Convex matrix optimization problems with low-rank solutions play a fundamental role in signal processing, statistics, and related disciplines. These problems are difficult to solve because of the cost of maintaining the matrix decision variable, even though the low-rank solution has few degrees of freedom. This talk presents the first algorithm that provably solves these problems using optimal storage. The algorithm produces high-quality solutions to large problem instances that, previously, were intractable.  Joint with Volkan Cevher, Roarke Horstmeyer, Quoc Tran-Dinh, Madeleine Udell, and Alp Yurtsever.

Speaker: 
Joel Tropp
Caltech
Event Location: 
Fine Hall 224