We consider the problem of Robust PCA in the fully and partially observed settings. Without corruptions, this is the well-known matrix completion problem. From a statistical standpoint this problem has been recently well-studied, and conditions on when recovery is possible (how many observations do we need, how many corruptions can we tolerate) via polynomial-time algorithms is by now understood. This paper presents and analyzes a non-convex optimization approach that greatly reduces the computational complexity of the above problems, compared to the best available algorithms. In particular, in the fully observed case, with $r$ denoting rank and $d$ dimension, we reduce the complexity from $O(r^2d^2\log(1/\epsilon))$ to $O(rd^2\log(1/\epsilon))$ -- a big savings when the rank is big. For the partially observed case, we show the complexity of our algorithm is no more than $O(r^4d\log(d)\log(1/\epsilon))$. Not only is this the best-known run-time for a provable algorithm under partial observation, but in the setting where $r$ is small compared to $d$, it also allows for near-linear-in-$d$ run-time that can be exploited in the fully-observed case as well, by simply running our algorithm on a subset of the observations.

Commonly used in many applications, robust PCA represents an algorithmic attempt to reduce the sensitivity of classical PCA to outliers. The basic idea is to learn a decomposition of some data matrix of interest into low rank and sparse components, the latter representing unwanted outliers. Although the resulting problem is typically NP-hard, convex relaxations provide a computationally-expedient alternative with theoretical support. However, in practical regimes performance guarantees break down and a variety of non-convex alternatives, including Bayesian-inspired models, have been proposed to boost estimation quality. Unfortunately though, without additional a priori knowledge none of these methods can significantly expand the critical operational range such that exact principal subspace recovery is possible. Into this mix we propose a novel pseudo-Bayesian algorithm that explicitly compensates for design weaknesses in many existing non-convex approaches leading to state-of-the-art performance with a sound analytical foundation.

We consider the problem of Robust PCA in the fully and partially observed settings. Without corruptions, this is the well-known matrix completion problem. From a statistical standpoint this problem has been recently well-studied, and conditions on when recovery is possible (how many observations do we need, how many corruptions can we tolerate) via polynomial-time algorithms is by now understood. This paper presents and analyzes a non-convex optimization approach that greatly reduces the computational complexity of the above problems, compared to the best available algorithms. In particular, in the fully observed case, with $r$ denoting rank and $d$ dimension, we reduce the complexity from $O(r^2d^2\log(1/\epsilon))$ to $O(rd^2\log(1/\epsilon))$ -- a big savings when the rank is big. For the partially observed case, we show the complexity of our algorithm is no more than $O(r^4d\log(d)\log(1/\epsilon))$. Not only is this the best-known run-time for a provable algorithm under partial observation, but in the setting where $r$ is small compared to $d$, it also allows for near-linear-in-$d$ run-time that can be exploited in the fully-observed case as well, by simply running our algorithm on a subset of the observations.

The sparse additive model for text modeling involves the sum-of-exp computing, with consuming costs for large scales. Moreover, the assumption of equal background across all classes/topics may be too strong. This paper extends to propose sparse additive model with low rank background (SAM-LRB), and simple yet efficient estimation. Particularly, by employing a double majorization bound, we approximate the log-likelihood into a quadratic lower-bound with the sum-of-exp terms absent. The constraints of low rank and sparsity are then simply embodied by nuclear norm and $\ell_1$-norm regularizers. Interestingly, we find that the optimization task in this manner can be transformed into the same form as that in Robust PCA. Consequently, parameters of supervised SAM-LRB can be efficiently learned using an existing algorithm for Robust PCA based on accelerated proximal gradient. Besides the supervised case, we extend SAM-LRB to also favor unsupervised and multifaceted scenarios. Experiments on real world data demonstrate the effectiveness and efficiency of SAM-LRB, showing state-of-the-art performances.

We thank all the reviewers for their time and effort. We are particularly grateful for the suggestion of the reviewers about Section 5-6. Specifically, we will move Sect. We will also follow Reviewer 1's and Reviewer 2's advice to add the derivation of Eq. (13) and Eq. Due to space limitations, below we only address the major concerns raised by the reviewers. NN in the Dijkstra's algorithm used to compute the geodesic distances (mentioned Does the methodology presented in Section 2 work for non-Gaussian noise too?

To better understand this trade-off, we observe that sparse and low-rank approximations excel in different regimes, determined by the softmax temperature in attention, and sparse + low-rank can outperform each individually.

We propose a new method for robust PCA - the task of recovering a low-rank matrix from sparse corruptions that are of unknown value and support. Our method involves alternating between projecting appropriate residuals onto the set of lowrank matrices, and the set of sparse matrices; each projection is non-convex but easy to compute. In spite of this non-convexity, we establish exact recovery of the low-rank matrix, under the same conditions that are required by existing methods (which are based on convex optimization).

This is an interesting work that presents the perhaps first theoretical guarantee for a widely used optimization technique of the problem of robust PCA. I think it has potential and should be somewhere between poster and oral. During the rebuttal period, I would suggest the authors to address the following minor concerns. That been said, it is not clear how one is able to know the true rank "r" and the corruption fraction "alpha". The projection step (Step 7 and Step 8) requires a knowledge of the incoherence parameter.

The robust principal component analysis (RPCA) problem seeks to separate low-rank trends from sparse outlierswithin a data matrix, that is, to approximate a n\times d matrix D as the sum of a low-rank matrix L and a sparse matrix S .We examine the robust principal component analysis (RPCA) problem under data compression, wherethe data Y is approximately given by (L S)\cdot C, that is, a low-rank sparse data matrix that has been compressed to size n\times m (with m substantially smaller than the original dimension d) via multiplication witha compression matrix C . We give a convex program for recovering the sparse component S along with the compressed low-rank component L\cdot C, along with upper bounds on the error of this reconstructionthat scales naturally with the compression dimension m and coincides with existing results for the uncompressedsetting m d . Our results can also handle error introduced through additive noise or through missing data.The scaling of dimension, compression, and signal complexity in our theoretical results is verified empirically through simulations, and we also apply our method to a data set measuring chlorine concentration acrossa network of sensors, to test its performance in practice.

Robust Principal Component Analysis (RPCA) is a fundamental technique for decomposing data into low-rank and sparse components, which plays a critical role for applications such as image processing and anomaly detection. Traditional RPCA methods commonly use $\ell_1$ norm regularization to enforce sparsity, but this approach can introduce bias and result in suboptimal estimates, particularly in the presence of significant noise or outliers. Non-convex regularization methods have been proposed to mitigate these challenges, but they tend to be complex to optimize and sensitive to initial conditions, leading to potential instability in solutions. To overcome these challenges, in this paper, we propose a novel RPCA model that integrates adaptive weighted least squares (AWLS) and low-rank matrix factorization (LRMF). The model employs a {self-attention-inspired} mechanism in its weight update process, allowing the weight matrix to dynamically adjust and emphasize significant components during each iteration. By employing a weighted F-norm for the sparse component, our method effectively reduces bias while simplifying the computational process compared to traditional $\ell_1$-norm-based methods. We use an alternating minimization algorithm, where each subproblem has an explicit solution, thereby improving computational efficiency. Despite its simplicity, numerical experiments demonstrate that our method outperforms existing non-convex regularization approaches, offering superior performance and stability, as well as enhanced accuracy and robustness in practical applications.