Riemannian CUR Decompositions for Robust Principal Component Analysis
Riemannian CUR Decompositions for Robust Principal Component Analysis
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DOI：
10.48550/arxiv.2206.09042
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发表时间：
2022-06
期刊：
影响因子：
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通讯作者：
Keaton Hamm;Mohamed Meskini;HanQin Cai
中科院分区：
文献类型：
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作者：
Keaton Hamm;Mohamed Meskini;HanQin Cai
鲁棒主成分分析（Robust Principal Component Analysis，PCA）近年来受到了广泛的关注。它的目的是恢复一个低秩矩阵和稀疏矩阵从他们的总和。本文提出了一种新的非凸鲁棒PCA算法，创造黎曼CUR（RieCUR），它利用黎曼优化和鲁棒CUR分解的思想。该算法与目前最先进的迭代鲁棒CUR算法具有相同的计算复杂度，但对离群值更具鲁棒性。RieCUR也能够容忍大量的离群值，并且与加速交替投影相当，加速交替投影具有高离群值容限，但计算复杂度比所提出的方法更差。因此，该算法在计算复杂度和离群值容限方面都实现了鲁棒PCA的最新性能。
Robust Principal Component Analysis (PCA) has received massive attention in recent years. It aims to recover a low-rank matrix and a sparse matrix from their sum. This paper proposes a novel nonconvex Robust PCA algorithm, coined Riemannian CUR (RieCUR), which utilizes the ideas of Riemannian optimization and robust CUR decompositions. This algorithm has the same computational complexity as Iterated Robust CUR, which is currently state-of-the-art, but is more robust to outliers. RieCUR is also able to tolerate a significant amount of outliers, and is comparable to Accelerated Alternating Projections, which has high outlier tolerance but worse computational complexity than the proposed method. Thus, the proposed algorithm achieves state-of-the-art performance on Robust PCA both in terms of computational complexity and outlier tolerance.