Finite Sample Guarantees for PCA in Non-Isotropic and Data-Dependent Noise

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Authors Namrata Vaswani, Praneeth Narayanamurthy
Journal/Conference Name 55th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2017
Paper Category
Paper Abstract This work obtains novel finite sample guarantees for Principal Component Analysis (PCA). These hold even when the corrupting noise is non-isotropic, and a part (or all of it) is data-dependent. Because of the latter, in general, the noise and the true data are correlated. The results in this work are a significant improvement over those given in our earlier work where this "correlated-PCA" problem was first studied. In fact, in certain regimes, our results imply that the sample complexity required to achieve subspace recovery error that is a constant fraction of the noise level is near-optimal. Useful corollaries of our result include guarantees for PCA in sparse data-dependent noise and for PCA with missing data. An important application of the former is in proving correctness of the subspace update step of a popular online algorithm for dynamic robust PCA.
Date of publication 2017
Code Programming Language Matlab

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