A Nonconvex Projection Method for Robust PCA

A. Dutta, F. Hanzely, P. Richtárik
-, (2018)

A Nonconvex Projection Method for Robust PCA

Keywords

The goal of decomposing a matrix into the sum of low-rank and sparse components

Abstract

Robust principal component analysis (RPCA) is a well-studied problem with the goal of decomposing a matrix into the sum of low-rank and sparse components. In this paper, we propose a nonconvex feasibility reformulation of RPCA problem and apply an alternating projection method to solve it. To the best of our knowledge, we are the first to propose a method that solves RPCA problem without considering any objective function, convex relaxation, or surrogate convex constraints. We demonstrate through extensive numerical experiments on a variety of applications, including shadow removal, background estimation, face detection, and galaxy evolution, that our approach matches and often significantly outperforms current state-of-the-art in various ways.

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