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This work studies two interrelated problems - online robust PCA (RPCA) and online low-rank matrix completion (MC). In recent work by Cand\`{e}s et al., RPCA has been defined as a problem of separating a low-rank matrix (true data),…

Sparse Principal Component Analysis (SPCA) is an important technique for high-dimensional data analysis, improving interpretability by imposing sparsity on principal components. However, existing methods often fail to simultaneously…

High-dimensional tensors or multi-way data are becoming prevalent in areas such as biomedical imaging, chemometrics, networking and bibliometrics. Traditional approaches to finding lower dimensional representations of tensor data include…

Principal Component Analysis (PCA) is a well known procedure to reduce intrinsic complexity of a dataset, essentially through simplifying the covariance structure or the correlation structure. We introduce a novel algebraic, model-based…

Principal Components Analysis (PCA) is one of the most widely used dimension reduction techniques. Robust PCA (RPCA) refers to the problem of PCA when the data may be corrupted by outliers. Recent work by Cand{\`e}s, Wright, Li, and Ma…

Sparse Principal Component Analysis (SPCA) is a fundamental technique for dimensionality reduction, and is NP-hard. In this paper, we introduce a randomized approximation algorithm for SPCA, which is based on the basic SDP relaxation. Our…

The Min-Max Fair PCA problem seeks a low-rank representation of multi-group data such that the the approximation error is as balanced as possible across groups. Existing approaches to this problem return a rank-$d$ fair subspace, but lack…

In this paper we study the problem of recovering a low-rank matrix from a number of random linear measurements that are corrupted by outliers taking arbitrary values. We consider a nonsmooth nonconvex formulation of the problem, in which we…

Expressing a matrix as the sum of a low-rank matrix plus a sparse matrix is a flexible model capturing global and local features in data popularized as Robust PCA (Candes et al., 2011; Chandrasekaran et al., 2009). Compressed sensing,…

This paper is concerned with the computation of the principal components for a general tensor, known as the tensor principal component analysis (PCA) problem. We show that the general tensor PCA problem is reducible to its special case…

The topic of recovery of a structured model given a small number of linear observations has been well-studied in recent years. Examples include recovering sparse or group-sparse vectors, low-rank matrices, and the sum of sparse and low-rank…

In the past decade, sparse and low-rank recovery have drawn much attention in many areas such as signal/image processing, statistics, bioinformatics and machine learning. To achieve sparsity and/or low-rankness inducing, the $\ell_1$ norm…

Many real world practical problems can be formulated as $\ell_{0}$-minimization problems with nonnegativity constraints, which seek the sparsest nonnegative signals to underdetermined linear systems. They have been widely applied in signal…

Principal Component Analysis (PCA) is one of the most important unsupervised methods to handle high-dimensional data. However, due to the high computational complexity of its eigen decomposition solution, it hard to apply PCA to the…

Recovering matrices from compressive and grossly corrupted observations is a fundamental problem in robust statistics, with rich applications in computer vision and machine learning. In theory, under certain conditions, this problem can be…

Many popular statistical models, such as factor and random effects models, give arise a certain type of covariance structures that is a summation of low rank and sparse matrices. This paper introduces a penalized approximation framework to…

Modal analysis techniques are used to identify patterns and develop reduced-order models in a variety of fluid applications. However, experimentally acquired flow fields may be corrupted with incorrect and missing entries, which may degrade…

This paper extends robust principal component analysis (RPCA) to nonlinear manifolds. Suppose that the observed data matrix is the sum of a sparse component and a component drawn from some low dimensional manifold. Is it possible to…

Regularized variants of Principal Components Analysis, especially Sparse PCA and Functional PCA, are among the most useful tools for the analysis of complex high-dimensional data. Many examples of massive data, have both sparse and…

We consider the dimensionality-reduction problem (finding a subspace approximation of observed data) for contaminated data in the high dimensional regime, where the number of observations is of the same magnitude as the number of variables…