Robust PCA via Outlier Pursuit
Singular value decomposition (SVD) [and principal component analysis (PCA) is one of the most widely used techniques for dimensionality reduction: successful and efficiently computable, it is nevertheless plagued by a well known, well documented sensitivity to outliers. Recent work has considered the setting where each point has a few arbitrarily corrupted components. Yet, in applications of SVD or PCA, such as robust collaborative filtering or bioinformatics, malicious agents, defective genes, or simply corrupted or contaminated experiments may effectively yield entire points that are completely corrupted. We present an efficient convex optimization based algorithm that we call outlier pursuit, which under some mild assumptions on the uncorrupted points (satisfied, e.g. by the standard generative assumption in PCA problems) recovers the exact optimal low dimensional subspace and identifies the corrupted points. Such identification of corrupted points that do not conform to the low dimensional approximation is of paramount interest in bioinformatics, financial applications, and beyond. Our techniques involve matrix decomposition using nuclear norm minimization; however, our results, setup, and approach necessarily differ considerably from the existing line of work in matrix completion and matrix decomposition, since we develop an approach to recover the correct column space of the uncorrupted matrix, rather than the exact matrix itself. In any problem where one seeks to recover a structure rather than the exact initial matrices, techniques developed thus far relying on certificates of optimality will fail. We present an important extension of these methods, which allows the treatment of such problems.
IEEE Transactions on Information Theory