论文标题
快速多级算法用于压缩原则组件追求
Fast Multilevel Algorithms for Compressive Principle Component Pursuit
论文作者
论文摘要
从高度损坏的测量中恢复低级别矩阵是在压缩结构化高维信号的压缩感(例如,视频和高光谱图像等)中。通过主组件追踪(PCP)解决的鲁棒主成分分析(RPCA)通过将粘合矩阵分解为两个术语,从稀疏的腐败中恢复了低级别矩阵,这些矩阵的价值和支持:低秩矩阵和一个稀疏的矩阵,一个稀疏的矩阵,占据了稀疏噪声和差异和差异。在更通用的环境中,仅观察到数据矩阵的一部分,通过求解压缩原理成分Pursuit(CPCP),可以实现低秩矩阵恢复。 PCP和CPCP均为研究良好的凸面程序,并且已经提出了许多迭代算法以进行优化。然而,这些算法在每次迭代中涉及单数值分解(SVD),这在大量数据的情况下使其适用性挑战。在本文中,我们提出了一种多级方法,以解决PCP和CPCP问题的解决方案。我们的算法背后的核心原理是将SVD应用于比原始的模型较低的模型中,然后将其解决方案提升到原始问题维度。我们表明,所提出的算法易于实现,以相同的速度收敛,但迭代成本要低得多。关于许多合成和实际问题的数值实验表明,所提出的多级算法比原始对应物(即PCP和CPCP)快几倍。
Recovering a low-rank matrix from highly corrupted measurements arises in compressed sensing of structured high-dimensional signals (e.g., videos and hyperspectral images among others). Robust principal component analysis (RPCA), solved via principal component pursuit (PCP), recovers a low-rank matrix from sparse corruptions that are of unknown value and support by decomposing the observation matrix into two terms: a low-rank matrix and a sparse one, accounting for sparse noise and outliers. In the more general setting, where only a fraction of the data matrix has been observed, low-rank matrix recovery is achieved by solving the compressive principle component pursuit (CPCP). Both PCP and CPCP are well-studied convex programs, and numerous iterative algorithms have been proposed for their optimisation. Nevertheless, these algorithms involve singular value decomposition (SVD) at each iteration, which renders their applicability challenging in the case of massive data. In this paper, we propose a multilevel approach for the solution of PCP and CPCP problems. The core principle behind our algorithm is to apply SVD in models of lower-dimensionality than the original one and then lift its solution to the original problem dimension. We show that the proposed algorithms are easy to implement, converge at the same rate but with much lower iteration cost. Numerical experiments on numerous synthetic and real problems indicate that the proposed multilevel algorithms are several times faster than their original counterparts, namely PCP and CPCP.