Robust Recovery of Corrupted Low-RankMatrix by Implicit Regularizers

IEEE Trans Pattern Anal Mach Intell. 2014 Apr;36(4):770-83. doi: 10.1109/TPAMI.2013.188.

Abstract

Low-rank matrix recovery algorithms aim to recover a corrupted low-rank matrix with sparse errors. However, corrupted errors may not be sparse in real-world problems and the relationship between ℓ1 regularizer on noise and robust M-estimators is still unknown. This paper proposes a general robust framework for low-rank matrix recovery via implicit regularizers of robust M-estimators, which are derived from convex conjugacy and can be used to model arbitrarily corrupted errors. Based on the additive form of half-quadratic optimization, proximity operators of implicit regularizers are developed such that both low-rank structure and corrupted errors can be alternately recovered. In particular, the dual relationship between the absolute function in ℓ1 regularizer and Huber M-estimator is studied, which establishes a connection between robust low-rank matrix recovery methods and M-estimators based robust principal component analysis methods. Extensive experiments on synthetic and real-world data sets corroborate our claims and verify the robustness of the proposed framework.

Publication types

  • Research Support, Non-U.S. Gov't