On the Rotational Invariant L₁-Norm PCA

DOI10.1016/J.LAA.2019.10.030MaRDI QIDQ6313906arXivFDO

Authors Sebastian Neumayer, Max Nimmer, S. Setzer, Gabriele Steidl

Publication date 11 February 2019

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.LAA.2019.10.030

Mathematics Subject Classification ID

Partial differential equations on manifolds; differential operators (58Jxx) Factor analysis and principal components; correspondence analysis (62H25) Numerical optimization and variational techniques (65K10)

arXiv classification

math.NA

Abstract: Principal component analysis (PCA) is a powerful tool for dimensionality reduction. Unfortunately, it is sensitive to outliers, so that various robust PCA variants were proposed in the literature. Among them the so-called rotational invariant $L_1$-norm PCA is rather popular. In this paper, we reinterpret this robust method as conditional gradient algorithm and show moreover that it coincides with a gradient descent algorithm on Grassmannian manifolds. Based on this point of view, we prove for the first time convergence of the whole series of iterates to a critical point using the Kurdyka-{L}ojasiewicz property of the energy functional.

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