Paper:
How Much Restricted Isometry is Needed In Nonconvex Matrix Recovery?
When the linear measurements of an instance of low-rank matrix recovery satisfy a restricted isometry property (RIP)-i.e. they are approximately normpreserving-the problem is known to contain no spurious local minima, so exact recovery is guaranteed. In this paper, we show that moderate RIP is not enough to eliminate spurious local minima, so existing results can only hold for near-perfect RIP. In fact, counterexamples are ubiquitous: we prove that every x is the spurious local minimum of a rank-1 instance of matrix recovery that satisfies RIP. One specific counterexample has RIP constant δ = 1/2, but causes randomly initialized stochastic gradient descent (SGD) to fail 12% of the time. SGD is frequently able to avoid and escape spurious local minima, but this empirical result shows that it can occasionally be defeated by their existence. Hence, while exact recovery guarantees will likely require a proof of no spurious local minima, arguments based solely on norm preservation will only be applicable to a narrow set of nearly-isotropic instances.

Review:
Summary It has recently been proved that simple non-convex algorithms can recover a low-rank matrix from linear measurements, provided that the measurement operator satisfies a Restricted Isometry Property, with a good enough constant. Indeed, in this case, the natural objective function associated with the problem has no second-order critical point other than the solution. In this article, the authors ask how good the constant must be so that this property holds. They propose a convex program that finds measurement operators satisfying RIP, but for which the objective function has "bad" second-order critical points. They analyze this program in the case where the matrix to be recovered has rank 1, and deduce from this analysis that, for any x,z, there exists a RIP operator such that x is a bad second-order critical point when the true unknown is zz*; they upper bound the RIP constant. Finally, they run their program, and study through a few examples the behavior of Stochastic Gradient Descent on instances generated by it.   Main remarks The main things I appreciated in this article are: 1. I found the topic really interesting. There has been a lot of works, in the recent years, on why simple non-convex heuristics are able to efficiently solve some a priori difficult problems. Understanding which properties the problems must satisfy so that this is possible is an almost completely open problem. The present article studies, and relatively precisely describes, an aspect of this question. 2. I appreciated the approach used to tackle the problem, with this convex program that allows for both a theoretical and a numerical analysis. It was new to me, and proved efficient to answer the quesiton solved by the authors. 3. The writing style is clear and easy to read.  However, there are also, in my opinion, some issues: 1. I think the proof of Theorem 7 should absolutely be corrected and rewritten. I do not say that it is not true, but there are many things in it that I do not understand: - I do not see why naively repeating the prof of Theorem 5 leads to the equation after line 422, because I do not see why the positive eigenvalues of L^T(y)-M^T(U3) should be essentially the same as in Lemma 8 (the presence of X U3 X^T bothers me). Additionally, u3 should be defined. - Lines 431-432: it is g(0)=sin theta and g'(0)=cos theta, so I do not get the equation that follows. - In Lemma 10, it seems to me that g(beta) should be defined as a max, not a min (minimizing the objective function is equivalent to maximizing cos theta). - In the equation after line 457, why is it "+ V2 beta" and not "- V2 beta"? And I do not understand the second equality. Do we have alpha^2 + beta^2 = 1? - Line 458: Why is it sufficient to show the orthogonality? - Line after 459: A line of explanation as to why the optimal y and U solve this problem would be welcome, and the \tilde u_i should be defined. 2. Some aspects of the presentation could be improved. In particular, - Any measurement operator that is injective on the set of rank-r matrices satisfies 2r-RIP for some constant stricly smaller than one. But given that it is in general NP-hard to recover a low-rank matrix from linear measurements, it is somewhat expected that, for some RIP matrices, spurious second-order critical points (or at least points that look very much like spurious second-order critical points) exist. Consequently, it seems to me that it is not a surprise that the answer to the question on lines 58-59 is negative. Subsection 1.1 does not make this clear. - It is a naive remark, but 0 is always a critical point of the objective function; the discussion after Theorem 5 seems to ignore this. - Subsection 1.3: There are proofs of correctness for non-convex methods that do not really rely on properties very close to RIP. This is notably the case in phase retrieval, where the RIP does not hold. 3. It seems to me that some natural questions raised by this work could have been explored. - Experiment 2 shows that SGD avoids local minima more or less often, depending on their configuration. It would have been interesting to suggest explanations as to the factors that control this phenomenon. If I understood correctly, an obvious difference between the first and second examples is that, in the first case, the spurious local minimum has norm 2, while in the second one, it has norm 1/sqrt(2). The initialization strategy gives more weight to vectors with small norm. Does this explain part of the difference between the two examples? Can the autors propose and test other hypotheses? - About the tightness of the bound in Experiment 1, it seems to me that it should be possible to get a lower bound on the optimal delta, by replacing, in Equation (10), the equation "eta I <= H <= I" by "eta I <= P^T H P <= I", where the columns of P form an orthonormal basis of a subspace of S^n whose matrices all have rank at most 2r (for example, the matrices in S^n whose range is included in the vector space generated by the ranges of x and z). Is it correct? Have the authors tested it?   Minor remarks - Theorem 2: "local minimum" -> "second-order critical point" - Do the authors have ideas on how to generate operators A that satisfy the same properties, but for which m < n(n+1)/2? - Subsection 1.3: It is surprising to say that convex approaches enjoy stronger guarantees, then that some can be shown to always succeed when delta_(4r) < 0.4142 or delta_(4r) < 0.1907 (conditions which are not really weaker that requiring delta_(2r) < 0.2). - Line 132: "require" -> "requires" - The formulation in line 156 slightly suggests that the condition number is a convex function of H (which is not the case). - There are typos in Equation (6) (an "A" and a factor 2 missing, I think). - Equation (10): isn't the condition H \succeq 0 redundant? - In Section 3 and in the associated proofs, it would be better to remove all occurences of the variable "r", since only the r=1 case is studied. - Line 222: It seems to me that Example 3 only shows that the smallest delta achievable is smaller than or equal to 1/2, not that it is exactly 1/2. - Right sides of Figures 2 and 3: what does the y axis represent? - Line 243: "the the" -> "the". - Bibliography: "Candès" sometimes has an accent, sometimes not. - Line 387: There is a word missing after "coincide". - Lines 389-392: I do not think it is true that U1 takes on the positive eigenvalues, and U2 the negative ones. Imagine that Lambda = Diag(0.5,-0.5). Then U1 = V Diag(1,0) V^T and U2 = V Diag(0.5,0.5) V^T satisfy the constraints, and minimize the trace of U2. - Line 395: "eigenavlues" -> "eigenvalues" - Equation after Line 398: there is a theta missing in the denominator. - Line 436: the expression for M^T is not correct. - Line 442: there are typos in the expression for the eigenvalues. - Theorem 5 and Lemma 9: What is the interest of introducing the lower bound sin^2 phi / sqrt(1+rho^4) for sin theta? The exact expression that comes out of Lemma 9 is not so much more complex. - Equation after Line 450: There is a transpose missing. - Equation after Line 464: There are typos. - Equations in the proof of Lemma 11: v should be defined.   Added after author feedback: Many thanks to the authors for their clear and detailed response. Almost all of my remarks seem to have been taken into account. I changed my score accordingly.