A novel M-estimator for robust PCA
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Publication:2934008
zbMATH Open1318.62205arXiv1112.4863MaRDI QIDQ2934008FDOQ2934008
Authors: Teng Zhang, Gilad Lerman 
Publication date: 8 December 2014
Abstract: We study the basic problem of robust subspace recovery. That is, we assume a data set that some of its points are sampled around a fixed subspace and the rest of them are spread in the whole ambient space, and we aim to recover the fixed underlying subspace. We first estimate "robust inverse sample covariance" by solving a convex minimization procedure; we then recover the subspace by the bottom eigenvectors of this matrix (their number correspond to the number of eigenvalues close to 0). We guarantee exact subspace recovery under some conditions on the underlying data. Furthermore, we propose a fast iterative algorithm, which linearly converges to the matrix minimizing the convex problem. We also quantify the effect of noise and regularization and discuss many other practical and theoretical issues for improving the subspace recovery in various settings. When replacing the sum of terms in the convex energy function (that we minimize) with the sum of squares of terms, we obtain that the new minimizer is a scaled version of the inverse sample covariance (when exists). We thus interpret our minimizer and its subspace (spanned by its bottom eigenvectors) as robust versions of the empirical inverse covariance and the PCA subspace respectively. We compare our method with many other algorithms for robust PCA on synthetic and real data sets and demonstrate state-of-the-art speed and accuracy.
Full work available at URL: https://arxiv.org/abs/1112.4863
Recommendations
robust statisticsconvex relaxationM-estimatoriteratively re-weighted least squarescomponents analysis
Nonparametric estimation (62G05) Nonparametric robustness (62G35) Factor analysis and principal components; correspondence analysis (62H25)
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