Fast Robust Subspace Tracking via PCA in Sparse Data-Dependent Noise
This work studies the robust subspace tracking (ST) problem. Robust ST can be simply understood as a (slow) time-varying subspace extension of robust PCA. It assumes that the true data lies in a low-dimensional subspace that is either fixed or changes slowly with time. The goal is to track the changing subspaces over time in the presence of additive sparse outliers and to do this quickly (with a short delay). We introduce a 鈥渇ast鈥 mini-batch robust ST solution that is provably correct under mild assumptions.