The non-convex geometry of low-rank matrix optimization

This work considers two popular minimization problems: (i) the minimization of a general convex function f(X) with the domain being positive semi-definite matrices, and (ii) the minimization of a general convex function f(X) regularized by the matrix nuclear norm \|X\|* with the domain being general matrices. Despite their optimal statistical performance in the literature, these two optimization problems have a high computational complexity even when solved using tailored fast convex solvers. To develop faster and more scalable algorithms, we follow the proposal of Burer and Monteiro to factor the low-rank variable X = UU (for semi-definite matrices) or X=UV (for general matrices) and also replace the nuclear norm \|X\|* with (\|U\|F²+\|V\|F²)/2. In spite of the non-convexity of the resulting factored formulations, we prove that each critical point either corresponds to the global optimum of the original convex problems or is a strict saddle where the Hessian matrix has a strictly negative eigenvalue. Such a nice geometric structure of the factored formulations allows many local-search algorithms to find a global optimizer even with random initializations.