English

Error bounds for rank constrained optimization problems and applications

Optimization and Control 2016-03-24 v1

Abstract

This paper is concerned with the rank constrained optimization problem whose feasible set is the intersection of the rank constraint set R= ⁣{XX  rank(X)κ}\mathcal{R}=\!\big\{X\in\mathbb{X}\ |\ {\rm rank}(X)\le \kappa\big\} and a closed convex set Ω\Omega. We establish the local (global) Lipschitzian type error bounds for estimating the distance from any XΩX\in \Omega (XXX\in\mathbb{X}) to the feasible set and the solution set, respectively, under the calmness of a multifunction associated to the feasible set at the origin, which is specially satisfied by three classes of common rank constrained optimization problems. As an application of the local Lipschitzian type error bounds, we show that the penalty problem yielded by moving the rank constraint into the objective is exact in the sense that its global optimal solution set coincides with that of the original problem when the penalty parameter is over a certain threshold. This particularly offers an affirmative answer to the open question whether the penalty problem (32) in (Gao and Sun, 2010) is exact or not. As another application, we derive the error bounds of the iterates generated by a multi-stage convex relaxation approach to those three classes of rank constrained problems and show that the bounds are nonincreasing as the number of stages increases.

Keywords

Cite

@article{arxiv.1603.07070,
  title  = {Error bounds for rank constrained optimization problems and applications},
  author = {Shujun Bi and Shaohua Pan},
  journal= {arXiv preprint arXiv:1603.07070},
  year   = {2016}
}
R2 v1 2026-06-22T13:16:46.288Z