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

DOI10.1109/TIT.2014.2331344zbMATH Open1360.94093MaRDI 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)

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)

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.

Cited in

(5)

• Asymptotic performance of PCA for high-dimensional heteroscedastic data
• Bridging convex and nonconvex optimization in robust PCA: noise, outliers and missing data
• Decomposition into low-rank plus additive matrices for background/foreground separation: a review for a comparative evaluation with a large-scale dataset
• On the complexity of robust PCA and \(\ell_1\)-norm low-rank matrix approximation
• 2DPCA with L1-norm for simultaneously robust and sparse modelling

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