Compressive principal component pursuit

DOI10.1093/IMAIAI/IAT002MaRDI QIDQ4982421zbMATH OpenOpenAlexFDO

Authors

Publication date 9 April 2015

Published in Information and Inference: A Journal of the IMA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.4596

zbMATH Keywords

compressed sensingconvex optimizationlow-rank recoverysparse recovery

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We consider the problem of recovering a target matrix that is a superposition of low-rank and sparse components, from a small set of linear measurements. This problem arises in compressed sensing of structured high-dimensional signals such as videos and hyperspectral images, as well as in the analysis of transformation invariant low-rank recovery. We analyze the performance of the natural convex heuristic for solving this problem, under the assumption that measurements are chosen uniformly at random. We prove that this heuristic exactly recovers low-rank and sparse terms, provided the number of observations exceeds the number of intrinsic degrees of freedom of the component signals by a polylogarithmic factor. Our analysis introduces several ideas that may be of independent interest for the more general problem of compressed sensing and decomposing superpositions of multiple structured signals.

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Cited in

(27)

• Stable analysis of compressive principal component pursuit
• Two modified augmented Lagrange multiplier algorithms for Toeplitz matrix compressive recovery
• Global convergence of unmodified 3-block ADMM for a class of convex minimization problems
• Painless breakups -- efficient demixing of low rank matrices
• Robust bilinear factorization with missing and grossly corrupted observations
• Convergence study on the proximal alternating direction method with larger step size
• Restricted isometry property of principal component pursuit with reduced linear measurements
• Alternating proximal gradient method for convex minimization
• Compressed sensing of low-rank plus sparse matrices
• Two-stage convex relaxation approach to least squares loss constrained low-rank plus sparsity optimization problems
• Scalable robust matrix recovery: Frank-Wolfe meets proximal methods
• Convergence analysis of the augmented Lagrange multiplier algorithm for a class of matrix compressive recovery
• Median-truncated gradient descent: a robust and scalable nonconvex approach for signal estimation
• Sharp MSE bounds for proximal denoising
• An improved robust ADMM algorithm for quantum state tomography
• A general inertial proximal point algorithm for mixed variational inequality problem
• Inertial proximal ADMM for linearly constrained separable convex optimization
• Recovering structured signals in noise: least-squares meets compressed sensing
• Sharp recovery bounds for convex demixing, with applications
• Surveillance video processing using compressive sensing
• scientific article; zbMATH DE number 6906972 (Why is no real title available?)
• Hybrid Jacobian and Gauss-Seidel proximal block coordinate update methods for linearly constrained convex programming
• L^p continuity and microlocal properties for pseudodifferential operators
• Compressive-Projection Principal Component Analysis
• Minimum cost‐compression risk in principal component analysis
• Stable local-smooth principal component pursuit
• On a class of greedy sparse recovery algorithms

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