Abstract

We present a unified framework for low-rank matrix estimation with nonconvex penalty. A proximal gradient homotopy algorithm is developed to solve the proposed optimization problem. Theoretically, we first prove that the proposed estimator attains a faster statistical rate than the t ditional low-rank matrix estimator with nuclear norm penalty. Moreover, we rigorously show that under a certain condition on the magnitude of the nonzero singular values, the proposed estimator enjoys oracle property (i.e., exactly recovers the true rank of the matrix), besides attaining a fast rate. Extensive numerical experiments on both synthetic and real world datasets corroborate our theoretical findings.