Compressive PCA for Low-Rank Matrices on Graphs

We introduce a novel framework for an approxi- mate recovery of data matrices which are low-rank on graphs, from sampled measurements. The rows and columns of such matrices belong to the span of the first few eigenvectors of the graphs constructed between their rows and columns. We leverage this property to recover the non-linear low-rank structures efficiently from sampled data measurements, with a low cost (linear in n). First, a Resrtricted Isometry Property (RIP) condition is introduced for efficient uniform sampling of the rows and columns of such matrices based on the cumulative coherence of graph eigenvectors. Secondly, a state-of-the-art fast low-rank recovery method is suggested for the sampled data. Finally, several efficient, parallel and parameter-free decoders are presented along with their theoretical analysis for decoding the low-rank and cluster indicators for the full data matrix. Thus, we overcome the computational limitations of the standard linear low-rank recovery methods for big datasets. Our method can also be seen as a major step towards efficient recovery of non- linear low-rank structures. For a matrix of size n X p, on a single core machine, our method gains a speed up of $p^2/k$ over Robust Principal Component Analysis (RPCA), where k << p is the subspace dimension. Numerically, we can recover a low-rank matrix of size 10304 X 1000, 100 times faster than Robust PCA

Similarity Learning via Kernel Preserving Embedding

Data similarity is a key concept in many data-driven applications. Many algorithms are sensitive to similarity measures. To tackle this fundamental problem, automatically learning of similarity information from data via self-expression has been developed and successfully applied in various models, such as low-rank representation, sparse subspace learning, semi-supervised learning. However, it just tries to reconstruct the original data and some valuable information, e.g., the manifold structure, is largely ignored. In this paper, we argue that it is beneficial to preserve the overall relations when we extract similarity information. Specifically, we propose a novel similarity learning framework by minimizing the reconstruction error of kernel matrices, rather than the reconstruction error of original data adopted by existing work. Taking the clustering task as an example to evaluate our method, we observe considerable improvements compared to other state-of-the-art methods. More importantly, our proposed framework is very general and provides a novel and fundamental building block for many other similarity-based tasks. Besides, our proposed kernel preserving opens up a large number of possibilities to embed high-dimensional data into low-dimensional space.Comment: Published in AAAI 201

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 $\ell_0$-(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

Joint Tensor Factorization and Outlying Slab Suppression with Applications

We consider factoring low-rank tensors in the presence of outlying slabs. This problem is important in practice, because data collected in many real-world applications, such as speech, fluorescence, and some social network data, fit this paradigm. Prior work tackles this problem by iteratively selecting a fixed number of slabs and fitting, a procedure which may not converge. We formulate this problem from a group-sparsity promoting point of view, and propose an alternating optimization framework to handle the corresponding $\ell_p$ ($0<p\leq 1$) minimization-based low-rank tensor factorization problem. The proposed algorithm features a similar per-iteration complexity as the plain trilinear alternating least squares (TALS) algorithm. Convergence of the proposed algorithm is also easy to analyze under the framework of alternating optimization and its variants. In addition, regularization and constraints can be easily incorporated to make use of \emph{a priori} information on the latent loading factors. Simulations and real data experiments on blind speech separation, fluorescence data analysis, and social network mining are used to showcase the effectiveness of the proposed algorithm