Bayesian robust principal component analysis

A hierarchical Bayesian model is considered for decomposing a matrix into low-rank and sparse components, assuming the observed matrix is a superposition of the two. The matrix is assumed noisy, with unknown and possibly non-stationary noise statistics. The Bayesian framework infers an approximate representation for the noise statistics while simultaneously inferring the low-rank and sparse-outlier contributions; the model is robust to a broad range of noise levels, without having to change model hyperparameter settings. In addition, the Bayesian framework allows exploitation of additional structure in the matrix. For example, in video applications each row (or column) corresponds to a video frame, and we introduce a Markov dependency between consecutive rows in the matrix (corresponding to consecutive frames in the video). The properties of this Markov process are also inferred based on the observed matrix, while simultaneously denoising and recovering the low-rank and sparse components. We compare the Bayesian model to a state-of-the-art optimization-based implementation of robust PCA; considering several examples, we demonstrate competitive performance of the proposed model.