Recursive Robust PCA or Recursive Sparse Recovery in Large but Structured Noise

DOI10.1109/TIT.2014.2331344zbMATH Open1360.94093arXiv1211.3754MaRDI QIDQ2986240FDOQ2986240

Authors: Chenlu Qiu, Namrata Vaswani, Brian Lois, Leslie Hogben 

Publication date: 16 May 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: This work studies the recursive robust principal components' analysis(PCA) problem. Here, "robust" refers to robustness to both independent and correlated sparse outliers. If the outlier is the signal-of-interest, this problem can be interpreted as one of recursively recovering a time sequence of sparse vectors, St, in the presence of large but structured noise, Lt. The structure that we assume on Lt is that Lt is dense and lies in a low dimensional subspace that is either fixed or changes "slowly enough". A key application where this problem occurs is in video surveillance where the goal is to separate a slowly changing background (Lt) from moving foreground objects (St) on-the-fly. To solve the above problem, we introduce a novel solution called Recursive Projected CS (ReProCS). Under mild assumptions, we show that, with high probability (w.h.p.), ReProCS can exactly recover the support set of St at all times; and the reconstruction errors of both St and Lt are upper bounded by a time-invariant and small value at all times.

Full work available at URL: https://arxiv.org/abs/1211.3754

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

Cited In (5)

• 2DPCA with L1-norm for simultaneously robust and sparse modelling
• Asymptotic performance of PCA for high-dimensional heteroscedastic data
• Bridging convex and nonconvex optimization in robust PCA: noise, outliers and missing data
• On the Complexity of Robust PCA and ℓ₁-Norm Low-Rank Matrix Approximation
• Decomposition into low-rank plus additive matrices for background/foreground separation: a review for a comparative evaluation with a large-scale dataset

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