High Dimensional Low Rank Plus Sparse Matrix Decomposition

DOI10.1109/TSP.2017.2649482zbMATH Open1414.94501OpenAlexW2096608935MaRDI QIDQ4620722FDOQ4620722

Authors George K. Atia, Mostafa Rahmani 

Publication date 8 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.00182

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: This paper is concerned with the problem of low rank plus sparse matrix decomposition for big data. Conventional algorithms for matrix decomposition use the entire data to extract the low-rank and sparse components, and are based on optimization problems with complexity that scales with the dimension of the data, which limits their scalability. Furthermore, existing randomized approaches mostly rely on uniform random sampling, which is quite inefficient for many real world data matrices that exhibit additional structures (e.g. clustering). In this paper, a scalable subspace-pursuit approach that transforms the decomposition problem to a subspace learning problem is proposed. The decomposition is carried out using a small data sketch formed from sampled columns/rows. Even when the data is sampled uniformly at random, it is shown that the sufficient number of sampled columns/rows is roughly O(rmu), where mu is the coherency parameter and r the rank of the low rank component. In addition, adaptive sampling algorithms are proposed to address the problem of column/row sampling from structured data. We provide an analysis of the proposed method with adaptive sampling and show that adaptive sampling makes the required number of sampled columns/rows invariant to the distribution of the data. The proposed approach is amenable to online implementation and an online scheme is proposed.

Cited in

(8)

• Decomposition into low-rank plus additive matrices for background/foreground separation: a review for a comparative evaluation with a large-scale dataset
• A multi-objective memetic algorithm for low rank and sparse matrix decomposition
• Alternating direction method of multipliers for a class of nonconvex bilinear optimization: convergence analysis and applications
• Rank-Sparsity Incoherence for Matrix Decomposition
• Robust PCA by manifold optimization
• Enhanced image approximation using shifted rank-1 reconstruction
• Decomposition in multidimensional Boolean-optimization problems with sparse matrices
• scientific article; zbMATH DE number 6142618 (Why is no real title available?)

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