Dual Principal Component Pursuit
We consider the problem of learning a union of subspaces from data corrupted by outliers. State-of-the-art methods based on convex l1 and nuclear norm minimization require the subspace dimensions and the number of outliers to be sufficiently small. In this talk I will present a non-convex approach called Dual Principal Component Pursuit (DPCP), which can provably learn subspaces of high relative dimension and tolerate a large number of outliers by solving a non-convex l1 minimization problem on the sphere. Specifically, I will present both geometric and probabilistic conditions under which every global solution to the DPCP problem is a vector in the orthogonal complement to one of the subspaces. Such conditions show that DPCP can tolerate as many outliers as the square of the number of inliers. I will also present various optimization algorithms for solving the DPCP problem and show that a Projected Sub-Gradient Method admits linear convergence to the global minimum of the underlying non-convex and non-smooth optimization problem. Experiments show that the proposed method is able to handle more outliers and higher relative dimensions than state-of-the-art methods. Joint work with Tianjiao Ding, Daniel Robinson, Manolis Tsakiris and Zhihui Zhu.