Robust Subspace Learning: Robust PCA, Robust Subspace Tracking, and Robust Subspace Recovery

PCA is one of the most widely used dimension reduction techniques. A related easier problem is "subspace learning" or "subspace estimation". Given relatively clean data, both are easily solved via singular value decomposition (SVD). The problem of subspace learning or PCA in the presence of outliers is called robust subspace learning or robust PCA (RPCA). For long data sequences, if one tries to use a single lower dimensional subspace to represent the data, the required subspace dimension may end up being quite large. For such data, a better model is to assume that it lies in a low-dimensional subspace that can change over time, albeit gradually. The problem of tracking such data (and the subspaces) while being robust to outliers is called robust subspace tracking (RST). This article provides a magazine-style overview of the entire field of robust subspace learning and tracking. In particular solutions for three problems are discussed in detail: RPCA via sparse+low-rank matrix decomposition (S+LR), RST via S+LR, and "robust subspace recovery (RSR)". RSR assumes that an entire data vector is either an outlier or an inlier. The S+LR formulation instead assumes that outliers occur on only a few data vector indices and hence are well modeled as sparse corruptions.Comment: To appear, IEEE Signal Processing Magazine, July 201

Robust Principal Component Analysis?

This paper is about a curious phenomenon. Suppose we have a data matrix, which is the superposition of a low-rank component and a sparse component. Can we recover each component individually? We prove that under some suitable assumptions, it is possible to recover both the low-rank and the sparse components exactly by solving a very convenient convex program called Principal Component Pursuit; among all feasible decompositions, simply minimize a weighted combination of the nuclear norm and of the L1 norm. This suggests the possibility of a principled approach to robust principal component analysis since our methodology and results assert that one can recover the principal components of a data matrix even though a positive fraction of its entries are arbitrarily corrupted. This extends to the situation where a fraction of the entries are missing as well. We discuss an algorithm for solving this optimization problem, and present applications in the area of video surveillance, where our methodology allows for the detection of objects in a cluttered background, and in the area of face recognition, where it offers a principled way of removing shadows and specularities in images of faces

Robust learning with low-dimensional structure: theory,algorithms and applications

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