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January 2017, 2(1): 23-37. doi: 10.3934/bdia.2017006

An evolutionary multiobjective method for low-rank and sparse matrix decomposition

School of Electronics and Information, Northwestern Polytechnical University, 127 West Youyi Road, Xi'an Shaanxi, 710072, China

* Corresponding author: Tao Wu

Published  September 2017

This paper addresses the problem of finding the low-rank and sparse components of a given matrix. The problem involves two conflicting objective functions, reducing the rank and sparsity of each part simultaneously. Previous methods combine two objectives into a single objective penalty function to solve with traditional numerical optimization approaches. The main contribution of this paper is to put forward a multiobjective method to decompose the given matrix into low-rank component and sparse part. We optimize two objective functions with an evolutionary multiobjective algorithm MOEA/D. Another contribution of this paper, a modified low-rank and sparse matrix model is proposed, which simplifying the variable of objective functions and improving the efficiency of multiobjective optimization. The proposed method obtains a set of solutions with different trade-off between low-rank and sparse objectives, and decision makers can choose one or more satisfied decomposed results according to different requirements directly. Experiments conducted on artificial datasets and nature images, show that the proposed method always obtains satisfied results, and the convergence, stability and robustness of the proposed method is acceptable.

Citation: Tao Wu, Yu Lei, Jiao Shi, Maoguo Gong. An evolutionary multiobjective method for low-rank and sparse matrix decomposition. Big Data & Information Analytics, 2017, 2 (1) : 23-37. doi: 10.3934/bdia.2017006
References:
[1]

A. Beck and M. Teboulle, A fast iterative shrinkage-thresholding algorithm for linear inverse problems, SIAM Journal on Imaging Sciences, 2 (2009), 183-202. doi: 10.1137/080716542.

[2]

J.-F. CaiE. J. Candès and Z. Shen, A singular value thresholding algorithm for matrix completion, SIAM Journal on Optimization, 20 (2010), 1956-1982. doi: 10.1137/080738970.

[3]

Z. Cai and Y. Wang, A multiobjective optimization-based evolutionary algorithm for constrained optimization, IEEE Transactions on Evolutionary Computation, 10 (2006), 658-675. doi: 10.1109/TEVC.2006.872344.

[4]

E. J. Candès, X. Li, Y. Ma and J. Wright, Robust principal component analysis? Journal of the ACM (JACM), 58 (2011), Art. 11, 37 pp. doi: 10.1145/1970392.1970395.

[5]

E. J. Candès and B. Recht, Exact matrix completion via convex optimization, Foundations of Computational Mathematics, 9 (2009), 717-772. doi: 10.1007/s10208-009-9045-5.

[6]

V. ChandrasekaranS. SanghaviP. A. Parrilo and A. S. Willsky, Rank-sparsity incoherence for matrix decomposition, SIAM Journal on Optimization, 21 (2011), 572-596. doi: 10.1137/090761793.

[7]

C. A. C. Coello, D. A. Van~Veldhuizen and G. B. Lamont, Evolutionary Algorithms for Solving Multi-Objective Problems, Genetic Algorithms and Evolutionary Computation, 5. Kluwer Academic/Plenum Publishers, New York, 2002. doi: 10.1007/978-1-4757-5184-0.

[8]

K. Deb, Multi-objective Optimization Using Evolutionary Algorithms, John Wiley & Sons, Ltd. , Chichester, 2001.

[9]

K. DebA. PratapS. Agarwal and T. Meyarivan, A fast and elitist multiobjective genetic algorithm: NSGA-Ⅱ, IEEE Transactions on Evolutionary Computation, 6 (2002), 182-197. doi: 10.1109/4235.996017.

[10]

M. FazelH. Hindi and S. P. Boyd, A rank minimization heuristic with application to minimum order system approximation, in Proceedings of the American Control Conference, IEEE, 6 (2001), 4734-4739. doi: 10.1109/ACC.2001.945730.

[11]

M. GongL. JiaoH. Du and L. Bo, Multiobjective immune algorithm with nondominated neighbor-based selection, Evolutionary Computation, 16 (2008), 225-255. doi: 10.1162/evco.2008.16.2.225.

[12]

Z. Lin, A. Ganesh, J. Wright, L. Wu, M. Chen and Y. Ma, Fast convex optimization algorithms for exact recovery of a corrupted low-rank matrix, Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP), vol. 61,2009.

[13]

Z. Lin, M. Chen and Y. Ma, The augmented lagrange multiplier method for exact recovery of corrupted low-rank matrices, arXiv preprint, arXiv: 1009.5055, 2010.

[14]

K. Miettinen, Nonlinear Multiobjective Optimization, Kluwer Academic Publishers, Boston, MA, 1999.

[15]

C. QianY. Yu and Z.-H. Zhou, Pareto ensemble pruning, in AAAI, (2015), 2935-2941.

[16]

————, Subset selection by pareto optimization, in Advances in Neural Information Processing Systems, (2015), 1774-1782.

[17]

B. RechtM. Fazel and P. A. Parrilo, Guaranteed minimum-rank solutions of linear matrix equations via nuclear norm minimization, SIAM Review, 52 (2010), 471-501. doi: 10.1137/070697835.

[18]

J. D. Schaffer, Multiple objective optimization with vector evaluated genetic algorithms, in Proceedings of the 1st international Conference on Genetic Algorithms. L. Erlbaum Associates Inc. , (1985), 93-100.

[19]

J. L. StarckM. Elad and D. L. Donoho, Image decomposition via the combination of sparse representations and a variational approach, IEEE Transactions on Image Processing, 14 (2005), 1570-1582. doi: 10.1109/TIP.2005.852206.

[20]

J. YanJ. LiuY. LiZ. Niu and Y. Liu, Visual saliency detection via rank-sparsity decomposition, in IEEE International Conference on Image Processing, IEEE, (2010), 1089-1092. doi: 10.1109/ICIP.2010.5652280.

[21]

X. Yuan and J. Yang, Sparse and low-rank matrix decomposition via alternating direction methods, Pacific Journal of Optimization, 9 (2013), 167-180.

[22]

C. ZhangJ. LiuQ. TianC. XuH. Lu and S. Ma, Image classification by non-negative sparse coding, low-rank and sparse decomposition, IEEE Conference on Computer Vision and Pattern Recognition (CVPR), (2011), 1673-1680. doi: 10.1109/CVPR.2011.5995484.

[23]

Q. Zhang and H. Li, MOEA/D: A multiobjective evolutionary algorithm based on decomposition, IEEE Transactions on Evolutionary Computation, 11 (2007), 712-731.

[24]

M. Zibulevsky and B. A. Pearlmutter, Blind source separation by sparse decomposition in a signal dictionary, Neural Computation, 13 (2001), 863-882.

[25]

E. ZitzlerM. Laumanns and L. Thiele, SPEA2: Improving the strength pareto evolutionary algorithm, in Eurogen, 3242 (2001), 95-100.

show all references

References:
[1]

A. Beck and M. Teboulle, A fast iterative shrinkage-thresholding algorithm for linear inverse problems, SIAM Journal on Imaging Sciences, 2 (2009), 183-202. doi: 10.1137/080716542.

[2]

J.-F. CaiE. J. Candès and Z. Shen, A singular value thresholding algorithm for matrix completion, SIAM Journal on Optimization, 20 (2010), 1956-1982. doi: 10.1137/080738970.

[3]

Z. Cai and Y. Wang, A multiobjective optimization-based evolutionary algorithm for constrained optimization, IEEE Transactions on Evolutionary Computation, 10 (2006), 658-675. doi: 10.1109/TEVC.2006.872344.

[4]

E. J. Candès, X. Li, Y. Ma and J. Wright, Robust principal component analysis? Journal of the ACM (JACM), 58 (2011), Art. 11, 37 pp. doi: 10.1145/1970392.1970395.

[5]

E. J. Candès and B. Recht, Exact matrix completion via convex optimization, Foundations of Computational Mathematics, 9 (2009), 717-772. doi: 10.1007/s10208-009-9045-5.

[6]

V. ChandrasekaranS. SanghaviP. A. Parrilo and A. S. Willsky, Rank-sparsity incoherence for matrix decomposition, SIAM Journal on Optimization, 21 (2011), 572-596. doi: 10.1137/090761793.

[7]

C. A. C. Coello, D. A. Van~Veldhuizen and G. B. Lamont, Evolutionary Algorithms for Solving Multi-Objective Problems, Genetic Algorithms and Evolutionary Computation, 5. Kluwer Academic/Plenum Publishers, New York, 2002. doi: 10.1007/978-1-4757-5184-0.

[8]

K. Deb, Multi-objective Optimization Using Evolutionary Algorithms, John Wiley & Sons, Ltd. , Chichester, 2001.

[9]

K. DebA. PratapS. Agarwal and T. Meyarivan, A fast and elitist multiobjective genetic algorithm: NSGA-Ⅱ, IEEE Transactions on Evolutionary Computation, 6 (2002), 182-197. doi: 10.1109/4235.996017.

[10]

M. FazelH. Hindi and S. P. Boyd, A rank minimization heuristic with application to minimum order system approximation, in Proceedings of the American Control Conference, IEEE, 6 (2001), 4734-4739. doi: 10.1109/ACC.2001.945730.

[11]

M. GongL. JiaoH. Du and L. Bo, Multiobjective immune algorithm with nondominated neighbor-based selection, Evolutionary Computation, 16 (2008), 225-255. doi: 10.1162/evco.2008.16.2.225.

[12]

Z. Lin, A. Ganesh, J. Wright, L. Wu, M. Chen and Y. Ma, Fast convex optimization algorithms for exact recovery of a corrupted low-rank matrix, Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP), vol. 61,2009.

[13]

Z. Lin, M. Chen and Y. Ma, The augmented lagrange multiplier method for exact recovery of corrupted low-rank matrices, arXiv preprint, arXiv: 1009.5055, 2010.

[14]

K. Miettinen, Nonlinear Multiobjective Optimization, Kluwer Academic Publishers, Boston, MA, 1999.

[15]

C. QianY. Yu and Z.-H. Zhou, Pareto ensemble pruning, in AAAI, (2015), 2935-2941.

[16]

————, Subset selection by pareto optimization, in Advances in Neural Information Processing Systems, (2015), 1774-1782.

[17]

B. RechtM. Fazel and P. A. Parrilo, Guaranteed minimum-rank solutions of linear matrix equations via nuclear norm minimization, SIAM Review, 52 (2010), 471-501. doi: 10.1137/070697835.

[18]

J. D. Schaffer, Multiple objective optimization with vector evaluated genetic algorithms, in Proceedings of the 1st international Conference on Genetic Algorithms. L. Erlbaum Associates Inc. , (1985), 93-100.

[19]

J. L. StarckM. Elad and D. L. Donoho, Image decomposition via the combination of sparse representations and a variational approach, IEEE Transactions on Image Processing, 14 (2005), 1570-1582. doi: 10.1109/TIP.2005.852206.

[20]

J. YanJ. LiuY. LiZ. Niu and Y. Liu, Visual saliency detection via rank-sparsity decomposition, in IEEE International Conference on Image Processing, IEEE, (2010), 1089-1092. doi: 10.1109/ICIP.2010.5652280.

[21]

X. Yuan and J. Yang, Sparse and low-rank matrix decomposition via alternating direction methods, Pacific Journal of Optimization, 9 (2013), 167-180.

[22]

C. ZhangJ. LiuQ. TianC. XuH. Lu and S. Ma, Image classification by non-negative sparse coding, low-rank and sparse decomposition, IEEE Conference on Computer Vision and Pattern Recognition (CVPR), (2011), 1673-1680. doi: 10.1109/CVPR.2011.5995484.

[23]

Q. Zhang and H. Li, MOEA/D: A multiobjective evolutionary algorithm based on decomposition, IEEE Transactions on Evolutionary Computation, 11 (2007), 712-731.

[24]

M. Zibulevsky and B. A. Pearlmutter, Blind source separation by sparse decomposition in a signal dictionary, Neural Computation, 13 (2001), 863-882.

[25]

E. ZitzlerM. Laumanns and L. Thiele, SPEA2: Improving the strength pareto evolutionary algorithm, in Eurogen, 3242 (2001), 95-100.

Figure 1.  The distributions of nondominated solutions, dominated solutions and Pareto front in the objective space of the two objectives problem.
Figure 2.  Error of sparse component recovering by the ADM method for LRSMD with different choices of the parameter $\lambda$
Figure 3.  The Pareto front, two objective functions corresponding to the solutions and box-plot for $ErrLR$ and $ErrSP$ by running 30 times independent experiments. Three rows represent experiment on the data with size:$20\times 20$, rank: 5, sparsity: 0.2, size: $50\times 50$, rank: 5, sparsity: 0.2 and size: $100\times 100$, rank: 5, sparsity: 0.5 respectively.
Figure 4.  Box-plot about $ErrLR$ and $ErrSP$ for data with different noise. (a): number of noise points is 20, $\sigma=1$. (b): number of noise points is 20, $\sigma=5$. (c): number of noise points is 20, $\sigma=15$. (d): number of noise points is 50, $\sigma=5$. (e): number of noise points is 50, $\sigma=15$.
Figure 5.  The Pareto front and two objective functions corresponding to the solutions for noise data. Noise type: number of noise points is 50 and $\sigma =15$.
Figure 6.  The Pareto front and decomposed results with image lena. (a) is Pareto front of MOLRSMD and (b) is three different decomposed results selected form Pareto front, and they locate at the top, middle and bottom of Pareto front, respectively.
Figure 7.  The Pareto front and decomposed results with image face. (a) is Pareto front of MOLRSMD and (b) is three different decomposed results selected form Pareto front, and they locate at the top, middle and bottom of Pareto front, respectively.
Figure 8.  Results of the proposed MOLRSMD compared with ADM and ALM. The test dataset size is $50\times 50$, rank equals 5 and sparsity is 0.2.
Table 1.  The Parameters in the MOLRSMD used in the Experiments
ParameterMeaningValue
$N$The number of subproblems100
$T$The number of neighbors20
$t_{max}$The maximum of generations300
$pc$The probability of crossover0.8
$pd$The differential multiplier0.5
$pm$The probability of mutation0.2
$ps$The probability of mutation selection0.85
ParameterMeaningValue
$N$The number of subproblems100
$T$The number of neighbors20
$t_{max}$The maximum of generations300
$pc$The probability of crossover0.8
$pd$The differential multiplier0.5
$pm$The probability of mutation0.2
$ps$The probability of mutation selection0.85
Table 2.  Errors of the proposed MOLRSMD compared with ADM and ALM.
Methods$ErrLR$ $ErrSP$ $ErrT$
MOLRSMD0.01000.19860
ADM0.02990.13311.9135e-17
ALM0.01480.06612.2412e-10
Methods$ErrLR$ $ErrSP$ $ErrT$
MOLRSMD0.01000.19860
ADM0.02990.13311.9135e-17
ALM0.01480.06612.2412e-10
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