FMS
The Fast Median Subspace (FMS) algorithm. This work presents a fast and non-convex algorithm for robust subspace recovery. The data sets considered include inliers drawn around a low-dimensional subspace of a higher dimensional ambient space, and a possibly large portion of outliers that do not lie nearby this subspace. The proposed algorithm, which we refer to as Fast Median Subspace (FMS), is designed to robustly determine the underlying subspace of such data sets, while having lower computational complexity than existing methods. We prove convergence of the FMS iterates to a stationary point. Further, under a special model of data, FMS converges to a point which is near to the global minimum with overwhelming probability. Under this model, we show that the iteration complexity is globally bounded and locally r-linear. The latter theorem holds for any fixed fraction of outliers (less than 1) and any fixed positive distance between the limit point and the global minimum. Numerical experiments on synthetic and real data demonstrate its competitive speed and accuracy.
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References in zbMATH (referenced in 7 articles , 1 standard article )
Showing results 1 to 7 of 7.
Sorted by year (- Ma, Cong; Wang, Kaizheng; Chi, Yuejie; Chen, Yuxin: Implicit regularization in nonconvex statistical estimation: gradient descent converges linearly for phase retrieval, matrix completion, and blind deconvolution (2020)
- Neumayer, Sebastian; Nimmer, Max; Setzer, Simon; Steidl, Gabriele: On the rotational invariant (L_1)-norm PCA (2020)
- Trogdon, Thomsa: On spectral and numerical properties of random butterfly matrices (2019)
- Huroyan, Vahan; Lerman, Gilad: Distributed robust subspace recovery (2018)
- Lerman, Gilad; Maunu, Tyler: Fast, robust and non-convex subspace recovery (2018)
- Tsakiris, Manolis C.; Vidal, René: Dual principal component pursuit (2018)
- Lerman, Gilad; Zhang, Teng: (l_p)-recovery of the most significant subspace among multiple subspaces with outliers (2014)