  Minimizing the rank of a matrix subject to affine constraints is a
fundamental problem with many important applications in machine learning and
statistics. In this paper we propose a simple and fast algorithm SVP (Singular
Value Projection) for rank minimization with affine constraints (ARMP) and show
that SVP recovers the minimum rank solution for affine constraints that satisfy
the "restricted isometry property" and show robustness of our method to noise.
Our results improve upon a recent breakthrough by Recht, Fazel and Parillo
(RFP07) and Lee and Bresler (LB09) in three significant ways:
  1) our method (SVP) is significantly simpler to analyze and easier to
implement,
  2) we give recovery guarantees under strictly weaker isometry assumptions
  3) we give geometric convergence guarantees for SVP even in presense of noise
and, as demonstrated empirically, SVP is significantly faster on real-world and
synthetic problems.
  In addition, we address the practically important problem of low-rank matrix
completion (MCP), which can be seen as a special case of ARMP. We empirically
demonstrate that our algorithm recovers low-rank incoherent matrices from an
almost optimal number of uniformly sampled entries. We make partial progress
towards proving exact recovery and provide some intuition for the strong
performance of SVP applied to matrix completion by showing a more restricted
isometry property. Our algorithm outperforms existing methods, such as those of
\cite{RFP07,CR08,CT09,CCS08,KOM09,LB09}, for ARMP and the matrix-completion
problem by an order of magnitude and is also significantly more robust to
noise.
