Orthogonal Rank-One Matrix Pursuit for Low Rank Matrix Completion
In this paper, we propose an efficient and scalable low rank matrix completion algorithm. The key idea is to extend the orthogonal matching pursuit method from the vector case to the matrix case. We further propose an economic version of our algorithm by introducing a novel weight updating rule to reduce the time and storage complexity. Both versions are computationally inexpensive for each matrix pursuit iteration and find satisfactory results in a few iterations. Another advantage of our proposed algorithm is that it has only one tunable parameter, which is the rank. It is easy to understand and to use by the user. This becomes especially important in large-scale learning problems. In addition, we rigorously show that both versions achieve a linear convergence rate, which is significantly better than the previous known results. We also empirically compare the proposed algorithms with several state-of-the-art matrix completion algorithms on many real-world datasets, including the large-scale recommendati...