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A Short Note on Improved ROSETA (1710.05961v1)
Published 16 Oct 2017 in cs.NA and math.NA
Abstract: This note presents a more efficient formulation of the robust online subspace estimation and tracking algorithm (ROSETA) that is capable of identifying and tracking a time-varying low dimensional subspace from incomplete measurements and in the presence of sparse outliers. The algorithm minimizes a robust l1 norm cost function between the observed measurements and their projection onto the estimated subspace. The projection coefficients and sparse outliers are computed using a LASSO solver and the subspace estimate is updated using a proximal point iteration with adaptive parameter selection.