Applications of gauge duality in robust principal component analysis and semidefinite programming (1601.06893v2)

Abstract: Gauge duality theory was originated by Freund [Math. Programming, 38(1):47-67, 1987] and was recently further investigated by Friedlander, Mac{^e}do and Pong [SIAM J. Optm., 24(4):1999-2022, 2014]. When solving some matrix optimization problems via gauge dual, one is usually able to avoid full matrix decompositions such as singular value and/or eigenvalue decompositions. In such an approach, a gauge dual problem is solved in the first stage, and then an optimal solution to the primal problem can be recovered from the dual optimal solution obtained in the first stage. Recently, this theory has been applied to a class of \emph{semidefinite programming} (SDP) problems with promising numerical results [Friedlander and Mac{^e}do, SIAM J. Sci. Comp., to appear, 2016]. In this paper, we establish some theoretical results on applying the gauge duality theory to robust \emph{principal component analysis} (PCA) and general SDP. For each problem, we present its gauge dual problem, characterize the optimality conditions for the primal-dual gauge pair, and validate a way to recover a primal optimal solution from a dual one. These results are extensions of [Friedlander and Mac{^e}do, SIAM J. Sci. Comp., to appear, 2016] from nuclear norm regularization to robust PCA and from a special class of SDP which requires the coefficient matrix in the linear objective to be positive definite to SDP problems without this restriction. Our results provide further understanding in the potential advantages and disadvantages of the gauge duality theory.