Accelerated Alternating Projections for Robust Principal Component Analysis
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Abstract: We study robust PCA for the fully observed setting, which is about separating a low rank matrix and a sparse matrix from their sum . In this paper, a new algorithm, dubbed accelerated alternating projections, is introduced for robust PCA which significantly improves the computational efficiency of the existing alternating projections proposed in [Netrapalli, Praneeth, et al., 2014] when updating the low rank factor. The acceleration is achieved by first projecting a matrix onto some low dimensional subspace before obtaining a new estimate of the low rank matrix via truncated SVD. Exact recovery guarantee has been established which shows linear convergence of the proposed algorithm. Empirical performance evaluations establish the advantage of our algorithm over other state-of-the-art algorithms for robust PCA.
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Cited in
(25)- Random consensus robust PCA
- Fast algorithms for robust principal component analysis with an upper bound on the rank
- Bridging convex and nonconvex optimization in robust PCA: noise, outliers and missing data
- A unified framework for nonconvex nonsmooth sparse and low-rank decomposition by majorization-minimization algorithm
- Low-rank and sparse matrix recovery via inexact Newton-like method with non-monotone search
- Parallel active subspace decomposition for tensor robust principal component analysis
- Compressed sensing of low-rank plus sparse matrices
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- Acceleration of the alternating least squares algorithm for principal components analysis
- Coherence Pursuit: Fast, Simple, and Robust Principal Component Analysis
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- Robust Low-Tubal-Rank Tensor Completion under Cross-Concentrated Sampling
- Dynamic mode decomposition via difference-of-convex principal component analysis
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