Consistency of trace norm minimization

Abstract

Regularization by the sum of singular values, also referred to as the trace norm, is a popular technique for estimating low rank rectangular matrices. In this paper, we extend some of the consistency results of the Lasso to provide necessary and sufficient conditions for rank consistency of trace norm minimization with the square loss. We also provide an adaptive version that is rank consistent even when the necessary condition for the non adaptive version is not fulfilled.