Robust Principal Component Analysis: Exact Recovery of Corrupted Low-Rank Matrices via Convex Optimization

Principal component analysis is a fundamental operation in computational data analysis, with myriad applications ranging from web search to bioinformatics to computer vision and image analysis. However, its performance and applicability in real scenarios are limited by a lack of robustness to outlying or corrupted observations. Thispaper considers the idealized "robust principal component analysis" problem of recovering a low rank matrix A from corrupted observations D A E. Here, the corrupted entries E are unknown and the errors can be arbitrarily large (modeling grossly corrupted observations common in visual and bioinformatic data), but are assumed to be sparse. We prove that most matrices A can be efficiently and exactly recovered from most error sign-and-support patterns bysolving a simple convex program, for which we give a fast and provably convergent algorithm. Our result holds even when the rank of A grows nearly proportionally (up to a logarithmic factor) to the dimensionality of the observation spaceand the number of errors E grows in proportion to the total number of entries in the matrix. A byproduct of our analysis is the first proportional growth results for the related problem of completing a low-rank matrix from a small fraction ofits entries. Simulations and real-data examples corroborate the theoretical results, and suggest potential applications in computer vision.