🤖 AI Summary
This work proposes a distribution-free penalized regression framework to jointly model covariate effects and low-rank latent structure in sparse, noisy observations that exhibit row/column covariates and structural dependencies. The method integrates Lasso, ridge-type kernel regularization, and low-rank decomposition, and is efficiently solved via a scalable alternating least squares algorithm that flexibly accommodates prior similarity information. Theoretically, non-asymptotic error bounds are established, while computationally the approach achieves substantial reductions in complexity. Empirical evaluations on both synthetic and real-world data demonstrate that the proposed method attains prediction accuracy comparable to existing sophisticated approaches at significantly lower computational cost. The accompanying algorithm is publicly available as the R package IMR.
📝 Abstract
Matrix completion seeks to recover a low-rank matrix from a sparse and noisy subset of its entries. In many applications, such as recommendation systems and urban mobility, the observed matrix is accompanied by auxiliary covariates on its rows and columns and exhibits dependence across them. We propose Incomplete Matrix Regression (IMR), a distribution-free penalized regression framework that integrates such information into matrix completion. The target matrix is modeled as the sum of intercepts, covariate effects regularized by a Lasso penalty, and a low-rank latent component that captures structure unexplained by the covariates. Known similarity structures, such as spatial and temporal kernels, are incorporated through ridge-type penalties on the latent factors. For estimation, we provide a scalable alternating least-squares algorithm whose modular form allows us to include or exclude individual model components without rederiving the updates. We establish non-asymptotic error bounds for both the Lasso and matrix completion estimators that are consistent with standard rates in their respective literature. Through simulation studies and two real-data applications, we demonstrate that the proposed method attains predictive accuracy competitive with more complex methods at a small fraction of their computational cost. The methodology is implemented in the R package IMR.