Part of Advances in Neural Information Processing Systems 26 (NIPS 2013)
Jiashi Feng, Huan Xu, Shuicheng Yan
Robust PCA methods are typically based on batch optimization and have to load all the samples into memory. This prevents them from efficiently processing big data. In this paper, we develop an Online Robust Principal Component Analysis (OR-PCA) that processes one sample per time instance and hence its memory cost is independent of the data size, significantly enhancing the computation and storage efficiency. The proposed method is based on stochastic optimization of an equivalent reformulation of the batch RPCA method. Indeed, we show that OR-PCA provides a sequence of subspace estimations converging to the optimum of its batch counterpart and hence is provably robust to sparse corruption. Moreover, OR-PCA can naturally be applied for tracking dynamic subspace. Comprehensive simulations on subspace recovering and tracking demonstrate the robustness and efficiency advantages of the OR-PCA over online PCA and batch RPCA methods.