Robust PCA With Partial Subspace Knowledge

DOI10.1109/TSP.2015.2421485MaRDI QIDQ4580647zbMATH OpenOpenAlexFDO

Authors Jinchun Zhan, Namrata Vaswani

Publication date 22 August 2018

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

Full work available at URL https://arxiv.org/abs/1403.1591

Mathematics Subject Classification ID

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

Abstract: In recent work, robust Principal Components Analysis (PCA) has been posed as a problem of recovering a low-rank matrix $mathbfL$ and a sparse matrix $mathbfS$ from their sum, $mathbfM:=mathbfL+mathbfS$ and a provably exact convex optimization solution called PCP has been proposed. This work studies the following problem. Suppose that we have partial knowledge about the column space of the low rank matrix $mathbfL$. Can we use this information to improve the PCP solution, i.e. allow recovery under weaker assumptions? We propose here a simple but useful modification of the PCP idea, called modified-PCP, that allows us to use this knowledge. We derive its correctness result which shows that, when the available subspace knowledge is accurate, modified-PCP indeed requires significantly weaker incoherence assumptions than PCP. Extensive simulations are also used to illustrate this. Comparisons with PCP and other existing work are shown for a stylized real application as well. Finally, we explain how this problem naturally occurs in many applications involving time series data, i.e. in what is called the online or recursive robust PCA problem. A corollary for this case is also given.

Cited in

(4)

• Robust PCA and pairs of projections in a Hilbert space
• Decomposition into low-rank plus additive matrices for background/foreground separation: a review for a comparative evaluation with a large-scale dataset
• Robust principal component analysis based on trimming around affine subspaces
• Physical insights from complex multiscale non-linear system dynamics: identification of fast and slow variables

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