Derives instance-specific lower bounds on sample complexity for rank-adaptive matrix estimation and proposes a least-squares plus universal singular-value-thresholding algorithm whose finite-sample error nearly matches those bounds.
A.5 Extremal partial trace Lemma A.5.For anyk≤dand two matricesQ∈St d k(R),Σ∈R d×d symmetric positive definite, we have dX i=d−k+1 λi(Σ)≤Tr(Q ⊤ΣQ)≤ kX i=1 λi(Σ).(19) Proof
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Near-optimal Rank Adaptive Inference of High Dimensional Matrices
Derives instance-specific lower bounds on sample complexity for rank-adaptive matrix estimation and proposes a least-squares plus universal singular-value-thresholding algorithm whose finite-sample error nearly matches those bounds.