A Unified Framework for Outlier-Robust PCA-like Algorithms

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Wenzhuo Yang, Huan Xu ;
Proceedings of the 32nd International Conference on Machine Learning, PMLR 37:484-493, 2015.

Abstract

We propose a unified framework for making a wide range of PCA-like algorithms – including the standard PCA, sparse PCA and non-negative sparse PCA, etc. – robust when facing a constant fraction of arbitrarily corrupted outliers. Our theoretic analysis establishes solid performance guarantees of the proposed framework: its estimation error is upper bounded by a term depending on the intrinsic parameters of the data model, the selected PCA-like algorithm and the fraction of outliers. Comprehensive experiments on synthetic and real-world datasets demonstrate that the outlier-robust PCA-like algorithms derived from our framework have outstanding performance.

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