In this paper, we propose ascalable and learnable non-convex approach for highdimensional RPCA problems, which we call Learned Robust PCA (LRPCA).

Robust principal component analysis (RPCA) is a critical tool in modern machine learning, which detects outliers in the task of low-rank matrix reconstruction. In this paper, we propose a scalable and learnable non-convex approach for high-dimensional RPCA problems, which we call Learned Robust PCA (LRPCA). LRPCA is highly efficient, and its free parameters can be effectively learned to optimize via deep unfolding. Moreover, we extend deep unfolding from finite iterations to infinite iterations via a novel feedforward-recurrent-mixed neural network model. We establish the recovery guarantee of LRPCA under mild assumptions for RPCA. Numerical experiments show that LRPCA outperforms the state-of-the-art RPCA algorithms, such as ScaledGD and AltProj, on both synthetic datasets and real-world applications.

Robust principal component analysis (RPCA) is a critical tool in modern machine learning, which detects outliers in the task of low-rank matrix reconstruction. In this paper, we propose a scalable and learnable non-convex approach for high-dimensional RPCA problems, which we call Learned Robust PCA (LRPCA). LRPCA is highly efficient, and its free parameters can be effectively learned to optimize via deep unfolding. Moreover, we extend deep unfolding from finite iterations to infinite iterations via a novel feedforward-recurrent-mixed neural network model. We establish the recovery guarantee of LRPCA under mild assumptions for RPCA.

Robust principal component analysis (RPCA) is a critical tool in modern machine learning, which detects outliers in the task of low-rank matrix reconstruction. In this paper, we propose a scalable and learnable non-convex approach for high-dimensional RPCA problems, which we call Learned Robust PCA (LRPCA). LRPCA is highly efficient, and its free parameters can be effectively learned to optimize via deep unfolding. Moreover, we extend deep unfolding from finite iterations to infinite iterations via a novel feedforward-recurrent-mixed neural network model. We establish the recovery guarantee of LRPCA under mild assumptions for RPCA. Numerical experiments show that LRPCA outperforms the state-of-the-art RPCA algorithms, such as ScaledGD and AltProj, on both synthetic datasets and real-world applications.

Methods for supervised principal component analysis (SPCA) aim to incorporate label information into principal component analysis (PCA), so that the extracted features are more useful for a prediction task of interest. Prior work on SPCA has focused primarily on optimizing prediction error, and has neglected the value of maximizing variance explained by the extracted features. We propose a new method for SPCA that addresses both of these objectives jointly, and demonstrate empirically that our approach dominates existing approaches, i.e., outperforms them with respect to both prediction error and variation explained. Our approach accommodates arbitrary supervised learning losses and, through a statistical reformulation, provides a novel low-rank extension of generalized linear models.