An Adaptive Projected Subgradient based algorithm for robust subspace tracking

Symeon Chouvardas, Yannis Kopsinis, Sergios Theodoridis

Abstract: In this paper, an Adaptive Projected Subgradient Method (APSM) based algorithm for robust subspace tracking is introduced. A properly chosen cost function is constructed at each time instance and the goal is to seek for points, which belong to the zero level set of this function; i.e., the set of points which score a zero loss. In each iteration, an outlier detection mechanism is employed, in order to conclude whether the current data vector contains outlier noise or not. Furthermore, a sparsity-promoting greedy algorithm is employed for the outlier vector estimation allowing the purification of the corrupted data from the outlier noise prior further processing. A theoretical analysis is carried out and experiments within the context of robust subspace estimation exhibit the enhanced performance of the proposed scheme compared to a recently developed state of the art algorithm.