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arXiv 1012.1086stat.CO
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基于半定规划的鲁棒PCA的两个建议

Two Proposals for Robust PCA using Semidefinite Programming

Michael McCoy, Joel Tropp

摘要:

主成分分析(PCA)的性能受到严重的离群值的存在。提出了两种基于半定规划的鲁棒主成分分析方法。第一种方法,最大平均绝对偏差舍入(MDR),寻求大的传播方向的数据,同时阻尼离群值的影响。第二种方法产生数据的低杠杆分解(LLD),试图通过分离出损坏的观察结果来形成数据的低秩模型。本文还提出了有效的计算方法来解决这些SDP。数值实验证实了这些新技术的价值。

英文摘要:

The performance of principal component analysis (PCA) suffers badly in the presence of outliers. This paper proposes two novel approaches for robust PCA based on semidefinite programming. The first method, maximum mean absolute deviation rounding (MDR), seeks directions of large spread in the data while damping the effect of outliers. The second method produces a low-leverage decomposition (LLD) of the data that attempts to form a low-rank model for the data by separating out corrupted observations. This paper also presents efficient computational methods for solving these SDPs. Numerical experiments confirm the value of these new techniques.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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