Approximate methods for phase retrieval via gauge duality

Abstract: We consider the problem of finding a low rank symmetric matrix satisfying a system of linear equations, as appears in phase retrieval. In particular, we solve the gauge dual formulation, but use a fast approximation of the spectral computations to achieve a noisy solution estimate. This estimate is then used as the initialization of an alternating gradient descent scheme over a nonconvex rank-1 matrix factorization formulation. Numerical results on small problems show consistent recovery, with very low computational cost.