Rank-Constrained Least-Squares: Prediction and Inference
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In this work, we focus on the high-dimensional trace regression model with a low-rank coefficient matrix. We establish a nearly optimal in-sample prediction risk bound for the rank-constrained least-squares estimator under no assumptions on the design matrix. Lying at the heart of the proof is a covering number bound for the family of projection operators corresponding to the subspaces spanned by the design. By leveraging this complexity result, we perform a power analysis for a permutation test on the existence of a low-rank signal under the high-dimensional trace regression model. Finally, we use alternating minimization to approximately solve the rank-constrained least-squares problem to evaluate its empirical in-sample prediction risk and power of the resulting permutation test in our numerical study.
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