Outlier-robust additive matrix decomposition

Abstract: We study least-squares trace regression when the parameter is the sum of a $r$-low-rank matrix and a $s$-sparse matrix and a fraction $\epsilon$ of the labels is corrupted. For subgaussian distributions and feature-dependent noise, we highlight three needed design properties, each one derived from a different process inequality: a "product process inequality", "Chevet's inequality" and a "multiplier process inequality". These properties handle, simultaneously, additive decomposition, label contamination and design-noise interaction. They imply the near-optimality of a tractable estimator with respect to the effective dimensions $d_{eff,r}$ and $d_{eff,s}$ of the low-rank and sparse components, $\epsilon$ and the failure probability $\delta$. The near-optimal rate is $\mathsf{r}(n,d_{eff,r}) + \mathsf{r}(n,d_{eff,s}) + \sqrt{(1+\log(1/\delta))/n} + \epsilon\log(1/\epsilon)$, where $\mathsf{r}(n,d_{eff,r})+\mathsf{r}(n,d_{eff,s})$ is the optimal rate in average with no contamination. Our estimator is adaptive to $(s,r,\epsilon,\delta)$ and, for fixed absolute constant $c>0$, it attains the mentioned rate with probability $1-\delta$ uniformly over all $\delta\ge\exp(-cn)$. Without matrix decomposition, our analysis also entails optimal bounds for a robust estimator adapted to the noise variance. Our estimators are based on "sorted" versions of Huber's loss. We present simulations matching the theory. In particular, it reveals the superiority of "sorted" Huber's losses over the classical Huber's loss.