Von Neumann Entropy Penalization and Low Rank Matrix Estimation

Abstract: A problem of statistical estimation of a Hermitian nonnegatively definite matrix of unit trace (for instance, a density matrix in quantum state tomography) is studied. The approach is based on penalized least squares method with a complexity penalty defined in terms of von Neumann entropy. A number of oracle inequalities have been proved showing how the error of the estimator depends on the rank and other characteristics of the oracles. The methods of proofs are based on empirical processes theory and probabilistic inequalities for random matrices, in particular, noncommutative versions of Bernstein inequality.