Low rank solutions to differentiable systems over matrices and applications

Abstract: Differentiable systems in this paper means systems of equations that are described by differentiable real functions in real matrix variables. This paper proposes algorithms for finding minimal rank solutions to such systems over (arbitrary and/or several structured) matrices by using the Levenberg-Marquardt method (LM-method) for solving least squares problems. We then apply these algorithms to solve several engineering problems such as the low-rank matrix completion problem and the low-dimensional Euclidean embedding one. Some numerical experiments illustrate the validity of the approach. On the other hand, we provide some further properties of low rank solutions to systems linear matrix equations. This is useful when the differentiable function is linear or quadratic.