Optimal Shrinkage of Singular Values

@article{Gavish2017OptimalSO,
  title={Optimal Shrinkage of Singular Values},
  author={Matan Gavish and David L. Donoho},
  journal={IEEE Transactions on Information Theory},
  year={2017},
  volume={63},
  pages={2137-2152}
}
We consider the recovery of low-rank matrices from noisy data by shrinkage of singular values, in which a single, univariate nonlinearity is applied to each of the empirical singular values. We adopt an asymptotic framework, in which the matrix size is much larger than the rank of the signal matrix to be recovered, and the signal-to-noise ratio of the low… CONTINUE READING

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