Outlier Detection and Robust PCA Using a Convex Measure of Innovation

This paper presents a provable and strong algorithm, termed Innovation Search (iSearch), to robust Principal Component Analysis (PCA) and outlier detection. An outlier by definition is a data point which does not participate in forming a low dimensional structure with a large number of data points in the data. In other words, an outlier carries some innovation with respect to most of the other data points.