Poisson matrix completion

Yang Cao, Yao Xie

Abstract: We extend the theory of matrix completion to the case where we make Poisson observations for a subset of entries of a low-rank matrix. We consider the (now) usual matrix recovery formulation through maximum likelihood with proper constraints on the matrix M of size d <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> -by-d <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">2</sub> , and establish theoretical upper and lower bounds on the recovery error. Our bounds are nearly optimal up to a factor on the order of O(log(d <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> d <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">2</sub> )). These bounds are obtained by adapting the arguments used for one-bit matrix completion [1] (although these two problems are different in nature) and the adaptation requires new techniques exploiting properties of the Poisson likelihood function and tackling the difficulties posed by the locally sub-Gaussian characteristic of the Poisson distribution. Our results highlight a few important distinctions of Poisson matrix completion compared to the prior work in matrix completion including having to impose a minimum signal-to-noise requirement on each observed entry. We also develop an efficient iterative algorithm and demonstrate its good performance in recovering solar flare images.