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

Dimension Detection with Local Homology

Detecting the dimension of a hidden manifold from a point sample has become an important problem in the current data-driven era. Indeed, estimating the shape dimension is often the first step in studying the processes or phenomena associated to the data. Among the many dimension detection algorithms proposed in various fields, a few can provide theoretical guarantee on the correctness of the estimated dimension. However, the correctness usually requires certain regularity of the input: the input points are either uniformly randomly sampled in a statistical setting, or they form the so-called $(\varepsilon,\delta)$-sample which can be neither too dense nor too sparse. Here, we propose a purely topological technique to detect dimensions. Our algorithm is provably correct and works under a more relaxed sampling condition: we do not require uniformity, and we also allow Hausdorff noise. Our approach detects dimension by determining local homology. The computation of this topological structure is much less sensitive to the local distribution of points, which leads to the relaxation of the sampling conditions. Furthermore, by leveraging various developments in computational topology, we show that this local homology at a point $z$ can be computed \emph{exactly} for manifolds using Vietoris-Rips complexes whose vertices are confined within a local neighborhood of $z$. We implement our algorithm and demonstrate the accuracy and robustness of our method using both synthetic and real data sets

Self-Dictionary Sparse Regression for Hyperspectral Unmixing: Greedy Pursuit and Pure Pixel Search are Related

This paper considers a recently emerged hyperspectral unmixing formulation based on sparse regression of a self-dictionary multiple measurement vector (SD-MMV) model, wherein the measured hyperspectral pixels are used as the dictionary. Operating under the pure pixel assumption, this SD-MMV formalism is special in that it allows simultaneous identification of the endmember spectral signatures and the number of endmembers. Previous SD-MMV studies mainly focus on convex relaxations. In this study, we explore the alternative of greedy pursuit, which generally provides efficient and simple algorithms. In particular, we design a greedy SD-MMV algorithm using simultaneous orthogonal matching pursuit. Intriguingly, the proposed greedy algorithm is shown to be closely related to some existing pure pixel search algorithms, especially, the successive projection algorithm (SPA). Thus, a link between SD-MMV and pure pixel search is revealed. We then perform exact recovery analyses, and prove that the proposed greedy algorithm is robust to noise---including its identification of the (unknown) number of endmembers---under a sufficiently low noise level. The identification performance of the proposed greedy algorithm is demonstrated through both synthetic and real-data experiments