Error analysis for matrix elastic-net regularization algorithms.

Elastic-net regularization is a successful approach in statistical modeling. It can avoid large variations which occur in estimating complex models. In this paper, elastic-net regularization is extended to a more general setting, the matrix recovery (matrix completion) setting. Based on a combination of the nuclear-norm minimization and the Frobenius-norm minimization, we consider the matrix elastic-net (MEN) regularization algorithm, which is an analog to the elastic-net regularization scheme from compressive sensing. Some properties of the estimator are characterized by the singular value shrinkage operator. We estimate the error bounds of the MEN regularization algorithm in the framework of statistical learning theory. We compute the learning rate by estimates of the Hilbert-Schmidt operators. In addition, an adaptive scheme for selecting the regularization parameter is presented. Numerical experiments demonstrate the superiority of the MEN regularization algorithm.