Generalized Singular Value Thresholding

Canyi Lu, Changbo Zhu, Chunyan Xu, Shuicheng YAN, Zhouchen Lin

Abstract: This work studies the Generalized Singular Value Thresholding (GSVT) operator Proxσg(·), Proxσg(B) = arg minx ∑mi=1 g(σi(X)) + 1/2 ||X - B||2F, associated with a nonconvex function g defined on the singular values of X. We prove that GSVT can be obtained by performing the proximal operator of g (denoted as Proxg(·)) on the singular values since Proxg(·) is monotone when g is lower bounded. If the nonconvex g satisfies some conditions (many popular nonconvex surrogate functions, e.g., lp-norm, 0 < p < 1, of l0-norm are special cases), a general solver to find Proxg(b) is proposed for any b ≥ 0. GSVT greatly generalizes the known Singular Value Thresholding (SVT) which is a basic subroutine in many convex low rank minimization methods. We are able to solve the nonconvex low rank minimization problem by using GSVT in place of SVT.