Solving Principal Component Pursuit in Linear Time via $l_1$ Filtering

In the past decades, exactly recovering the intrinsic data structure from corrupted observations, which is known as robust principal component analysis (RPCA), has attracted tremendous interests and found many applications in computer vision. Recently, this problem has been formulated as recovering a low-rank component and a sparse component from the observed data matrix. It is proved that under some suitable conditions, this problem can be exactly solved by principal component pursuit (PCP), i.e., minimizing a combination of nuclear norm and l1 norm. Most of the existing methods for solving PCP require singular value decompositions (SVD) of the data matrix, resulting in a high computational complexity, hence preventing the applications of RPCA to very large scale computer vision problems. In this paper, we propose a novel algorithm, called l1 filtering, for exactly solving PCP with anO(r(m+n)) complexity, where m× n is the size of data matrix and r is the rank of the matrix to recover, which is supposed to be much smaller than m and n. Moreover, l1 filtering is highly parallelizable. It is the first algorithm that can exactly solve a nuclear norm minimization problem in linear time (with respect to the data size). Experiments on both synthetic data and real applicaR. Liu School of Mathematical Sciences, Dalian University of Technology. E-mail: [email protected] Z. Lin (corresponding author) Key Lab. of Machine Perception (MOE), Peking University. This work was done in Microsoft Research Asia. E-mail: [email protected] S. Wei College of Computer Science and Technology, Zhejiang University. E-mail: [email protected] Z. Su School of Mathematical Sciences, Dalian University of Technology. E-mail: [email protected] tions testify to the great advantage of l1 filtering in speed over state-of-the-art algorithms.