Robust principal component analysis? Some theory and some applications

Stelson Lecture Series
Monday, September 10, 2012 - 4:25pm for 1 hour (actually 50 minutes)
Clough Commons Room 144
Emmanuel Candes – Stanford University
Vladimir Koltchinskii

Please Note: General audience lecture

This talk is about a curious phenomenon. Suppose we have a data matrix, which is the superposition of a low-rank component and a sparse component. Can we recover each component individually? We prove that under some suitable assumptions, it is possible to recover both the low-rank and the sparse components exactly by solving a very convenient convex program. This suggests the possibility of a principled approach to robust principal component analysis since our methodology and results assert that one can recover the principal components of a data matrix even though a positive fraction of its entries are arbitrarily corrupted. This extends to the situation where a fraction of the entries are missing as well. In the second part of the talk, we present applications in computer vision. In video surveillance, for example, our methodology allows for the detection of objects in a cluttered background. We show how the methodology can be adapted to simultaneously align a batch of images and correct serious defects/corruptions in each image, opening new perspectives.