A Correctness Result for Online Robust PCA

Abstract

This work studies the problem of sequentially recovering a sparse vector $x_t$ and a vector from a low-dimensional subspace $l_t$ from knowledge of their sum $m_t = x_t + l_t$. If the primary goal is to recover the low-dimensional subspace where the $l_t$'s lie, then the problem is one of online or recursive robust principal components analysis (PCA). To the best of our knowledge, this is the first correctness result for online robust PCA. We prove that if the $l_t$'s obey certain denseness and slow subspace change assumptions, and the support of $x_t$ changes by at least a certain amount at least every so often, and some other mild assumptions hold, then with high probability, the support of $x_t$ will be recovered exactly, and the error made in estimating $x_t$ and $l_t$ will be small. An example of where such a problem might arise is in separating a sparse foreground and slowly changing dense background in a surveillance video.Comment: A shorter version of this appears in the Proceedings of ICASSP 2015. Please read arXiv:1409.3959 (Online Matrix Completion and Online Robust PCA, Proc. of ISIT 2015 and submitted to IEEE Trans. Info. Th.) for a strictly improved correctness result (it provides a performance guarantee for a more practical ReProCS algorithm under almost the same conditions as this work