A Level Set Method with Secant Iterations for the Least-Squares Constrained Nuclear Norm Minimization

Abstract

We present an efficient algorithm for least-squares constrained nuclear norm minimization, a computationally challenging problem with broad applications. Our approach combines a level set method with secant iterations and a proximal generation method. As a key theoretical contribution, we establish the nonsingularity of the Clarke generalized Jacobian for a general class of projection norm functions over closed convex sets. This property and the (strong) semismoothness of our value function yield fast local convergence of the secant method. For the resulting nuclear norm regularized subproblems, we develop a proximal generation method that exploits low-rank structures without compromising convergence. Extensive numerical experiments demonstrate the superior performance of our approach compared to state-of-the-art methods.