Iterative randomized robust linear regression

Yannis Kopsinis, Symeon Chouvardas, Sergios Theodoridis

Abstract: A promising approach when dealing with massive data sets is to apply randomized dimensionality reduction and then operate in lower dimensions. This paper deals with the randomized linear regression task in the case where the available data are sporadically corrupted. Instead of relying to minimization of norms, which are robust to outliers, an alternative route is taken. Building upon the observation that outliers can be detected, while operating in a low dimensional randomized projections produced embedding, a mechanism for iteratively detecting and excluding corrupted data is proposed. As a result, the linear regression is performed using conventional LS approximation, without the need to resort to linear programming-based ℓ <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> norm minimization tasks.