224 research outputs found
An Infeasible-Point Subgradient Method Using Adaptive Approximate Projections
We propose a new subgradient method for the minimization of nonsmooth convex
functions over a convex set. To speed up computations we use adaptive
approximate projections only requiring to move within a certain distance of the
exact projections (which decreases in the course of the algorithm). In
particular, the iterates in our method can be infeasible throughout the whole
procedure. Nevertheless, we provide conditions which ensure convergence to an
optimal feasible point under suitable assumptions. One convergence result deals
with step size sequences that are fixed a priori. Two other results handle
dynamic Polyak-type step sizes depending on a lower or upper estimate of the
optimal objective function value, respectively. Additionally, we briefly sketch
two applications: Optimization with convex chance constraints, and finding the
minimum l1-norm solution to an underdetermined linear system, an important
problem in Compressed Sensing.Comment: 36 pages, 3 figure
Robust PCA as Bilinear Decomposition with Outlier-Sparsity Regularization
Principal component analysis (PCA) is widely used for dimensionality
reduction, with well-documented merits in various applications involving
high-dimensional data, including computer vision, preference measurement, and
bioinformatics. In this context, the fresh look advocated here permeates
benefits from variable selection and compressive sampling, to robustify PCA
against outliers. A least-trimmed squares estimator of a low-rank bilinear
factor analysis model is shown closely related to that obtained from an
-(pseudo)norm-regularized criterion encouraging sparsity in a matrix
explicitly modeling the outliers. This connection suggests robust PCA schemes
based on convex relaxation, which lead naturally to a family of robust
estimators encompassing Huber's optimal M-class as a special case. Outliers are
identified by tuning a regularization parameter, which amounts to controlling
sparsity of the outlier matrix along the whole robustification path of (group)
least-absolute shrinkage and selection operator (Lasso) solutions. Beyond its
neat ties to robust statistics, the developed outlier-aware PCA framework is
versatile to accommodate novel and scalable algorithms to: i) track the
low-rank signal subspace robustly, as new data are acquired in real time; and
ii) determine principal components robustly in (possibly) infinite-dimensional
feature spaces. Synthetic and real data tests corroborate the effectiveness of
the proposed robust PCA schemes, when used to identify aberrant responses in
personality assessment surveys, as well as unveil communities in social
networks, and intruders from video surveillance data.Comment: 30 pages, submitted to IEEE Transactions on Signal Processin
Truncated Nuclear Norm Minimization for Image Restoration Based On Iterative Support Detection
Recovering a large matrix from limited measurements is a challenging task
arising in many real applications, such as image inpainting, compressive
sensing and medical imaging, and this kind of problems are mostly formulated as
low-rank matrix approximation problems. Due to the rank operator being
non-convex and discontinuous, most of the recent theoretical studies use the
nuclear norm as a convex relaxation and the low-rank matrix recovery problem is
solved through minimization of the nuclear norm regularized problem. However, a
major limitation of nuclear norm minimization is that all the singular values
are simultaneously minimized and the rank may not be well approximated
\cite{hu2012fast}. Correspondingly, in this paper, we propose a new multi-stage
algorithm, which makes use of the concept of Truncated Nuclear Norm
Regularization (TNNR) proposed in \citep{hu2012fast} and Iterative Support
Detection (ISD) proposed in \citep{wang2010sparse} to overcome the above
limitation. Besides matrix completion problems considered in
\citep{hu2012fast}, the proposed method can be also extended to the general
low-rank matrix recovery problems. Extensive experiments well validate the
superiority of our new algorithms over other state-of-the-art methods
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