Question: Solve the following optimization problem: argmin - Zizi(yi - Tr(X;@)) + alloll. (obj 1) where yi are given measurement points and Xis are known matrices.


Solve the following optimization problem: argmin - Zizi(yi - Tr(X;@)) + alloll. (obj 1) where yi are given measurement points and Xis are known matrices. The nuclear norm is defined as: |10||+ = Et1 0; with of being the i-th singular value of O matrix. We know that min - I|0 - Poll? + Allll. = US,(@)VT, where U and V are from the singular value decomposition, and S, () denotes the soft-thresholding of singular values. (1) Show (obj 1) can be solved by proximal gradient algorithm, write down the detailed procedure. [10 points] (2) Write down the detailed procedure for solving (obj 1) by using the accelerated proximal gradient descent algorithm. [5 points] (3) This problem is equivalent to the following problem: argmin - EN-1(yi - Tr(X;Ox))"+ alloyll. (obj 2) Subject to Ox = Oy where Ox E RNXN, Ov E RNXN. Solve the optimization problem (obj 2) using ADMM method
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