Robust Matrix Decomposition with Outliers

Details Robust Matrix Decomposition with Outliers Robust Matrix Decomposition with Outliers

2010-11-05

arxiv.org/abs/1011.1518v3

Statistics

Machine Learning

Corrected comparisons to previous work of Candes et al (2009)

Scientific paper

Suppose a given observation matrix can be decomposed as the sum of a low-rank matrix and a sparse matrix (outliers), and the goal is to recover these individual components from the observed sum. Such additive decompositions have applications in a variety of numerical problems including system identification, latent variable graphical modeling, and principal components analysis. We study conditions under which recovering such a decomposition is possible via a combination of $\ell_1$ norm and trace norm minimization. We are specifically interested in the question of how many outliers are allowed so that convex programming can still achieve accurate recovery, and we obtain stronger recovery guarantees than previous studies. Moreover, we do not assume that the spatial pattern of outliers is random, which stands in contrast to related analyses under such assumptions via matrix completion.

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