Weighted Singular Value Thresholding and its Application to Background Estimation

Abstract: Singular value thresholding (SVT) plays an important role in the well-known robust principal component analysis (RPCA) algorithms which have many applications in computer vision and recommendation systems. In this paper, we formulate and study a weighted singular value thresholding (WSVT) problem, which uses a combination of the nuclear norm and a weighted Frobenius norm. We present an algorithm to numerically solve WSVT and establish the convergence of the algorithm. As a proof of concept, we apply WSVT with a simple choice of weight learned from the data to the background estimation problem in computer vision. The numerical experiments show that our method can outperform RPCA algorithms. This indicates that instead of tackling the computationally expensive $\ell_1$ norm employed in RPCA, one may switch to the weighted Frobenius norm and achieve about the same or even better performance.