Robust Principal Component Analysis (PCA) (Candes et al., 2011) and low-rank matrix completion (Recht et al., 2010) are extensions of PCA to allow for outliers and missing entries respectively. It is well-known that solving these problems requires a low coherence between the low-rank matrix and the canonical basis, since in the extreme cases -- when the low-rank matrix we wish to recover is also sparse -- there is an inherent ambiguity. However, the well-posedness issue in both problems is an even more fundamental one: in some cases, both Robust PCA and matrix completion can fail to have any solutions at due to the set of low-rank plus sparse matrices not being closed, which in turn is equivalent to the notion of the matrix rigidity function not being lower semicontinuous (Kumar et al., 2014). By constructing infinite families of matrices, we derive bounds on the rank and sparsity such that the set of low-rank plus sparse matrices is not closed. We also demonstrate numerically that a wide range of non-convex algorithms for both Robust PCA and matrix completion have diverging components when applied to our constructed matrices. An analogy can be drawn to the case of sets of higher order tensors not being closed under canonical polyadic (CP) tensor rank, rendering the best low-rank tensor approximation unsolvable (De Silva and Lim, 2008) and hence encourage the use of multilinear tensor rank (De Lathauwer, 2000).
Jared Tanner, Andrew Thompson, Simon Vary, “Matrix rigidity and the ill-posedness of Robust PCA and matrix completion”, SIAM Mathematics of Data Science, accepted