Robust PCA via nonconvex rank approximation

Zhao Kang, Chong Peng, Qiang Cheng

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

139 Scopus citations

Abstract

Numerous applications in data mining and machinelearning require recovering a matrix of minimal rank. Robust principal component analysis (RPCA) is a generalframework for handling this kind of problems. Nuclear normbased convex surrogate of the rank function in RPCA iswidely investigated. Under certain assumptions, it can recoverthe underlying true low rank matrix with high probability. However, those assumptions may not hold in real-world applications. Since the nuclear norm approximates the rank byadding all singular values together, which is essentially a '1-norm of the singular values, the resulting approximation erroris not trivial and thus the resulting matrix estimator canbe significantly biased. To seek a closer approximation andto alleviate the above-mentioned limitations of the nuclearnorm, we propose a nonconvex rank approximation. Thisapproximation to the matrix rank is tighter than the nuclearnorm. To solve the associated nonconvex minimization problem, we develop an efficient augmented Lagrange multiplier basedoptimization algorithm. Experimental results demonstrate thatour method outperforms current state-of-the-art algorithms inboth accuracy and efficiency.

Original languageEnglish
Title of host publicationProceedings - 15th IEEE International Conference on Data Mining, ICDM 2015
EditorsCharu Aggarwal, Zhi-Hua Zhou, Alexander Tuzhilin, Hui Xiong, Xindong Wu
Pages211-220
Number of pages10
ISBN (Electronic)9781467395038
DOIs
StatePublished - Jan 5 2016
Event15th IEEE International Conference on Data Mining, ICDM 2015 - Atlantic City, United States
Duration: Nov 14 2015Nov 17 2015

Publication series

NameProceedings - IEEE International Conference on Data Mining, ICDM
Volume2016-January
ISSN (Print)1550-4786

Conference

Conference15th IEEE International Conference on Data Mining, ICDM 2015
Country/TerritoryUnited States
CityAtlantic City
Period11/14/1511/17/15

Bibliographical note

Publisher Copyright:
© 2015 IEEE.

ASJC Scopus subject areas

  • General Engineering

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