Trace norm regularization wih square loss Description The tracenorm package is a Matlab
program that implements a Newton method for tracenorm regularization
with the tracenorm. The algorithm is made for small dimensions but
compute the entire regularization path with very high precision. For more information, please read the
following paper: The current package currently only reproduces some of the figures of the paper. It includes the following files: demo_script_1.m : plot the regularization paths for a single problem demo_script_2.m
: generate random problems where the consistency condition may or may
not be satisified, and plot best estimate with correct rank vs. the
condition. demo_script_3.m : plot estimated probability of correct rank selection and estimation error. tracelasso.m : cost function for trace norm regularization with tracenorm. minimize_newton.m : optimization routine. The tracenorm package is Copyright (c) 2007 by Francis Bach. If
you have any questions or comments regarding this package, or if you want to
report any bugs, please send an e-mail to
francis.bach@mines.org. The current
version 1.0 has been released on October 12th 2007. Check this web page regularly
for newer versions.
Last updated: October 12th, 2007
Matlab
code - version 1.0
Francis R. Bach. Consistency of trace norm regularization. Submitted. 2007. [pdf]