Robust subspace tracking with missing data and outliers via ADMM

NV Dung, NL Trung… - 2019 27th European …, 2019 - ieeexplore.ieee.org
Robust subspace tracking is crucial when dealing with data in the presence of both outliers
and missing observations. In this paper, we propose a new algorithm, namely PETRELS-
ADMM, to improve performance of subspace tracking in such scenarios. Outliers residing in
the observed data are first detected in an efficient way and removed by the alternating
direction method of multipliers (ADMM) solver. The underlying subspace is then updated by
the algorithm of parallel estimation and tracking by recursive least squares (PETRELS) in …

[PDF][PDF] Robust subspace tracking with missing data and outliers via ADMM

Robust subspace tracking is crucial when dealing with data in the presence of both outliers
and missing observations. In this paper, we propose a new algorithm, namely PETRELS-
ADMM, to improve performance of subspace tracking in such scenarios. Outliers residing in
the observed data are first detected in an efficient way and removed by the alternating
direction method of multipliers (ADMM) solver. The underlying subspace is then updated by
the algorithm of parallel estimation and tracking by recursive least squares (PETRELS) in …
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