Finite Sample Guarantees for PCA in Non-Isotropic and Data-Dependent Noise

Namrata Vaswani; Praneeth Narayanamurthy

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arXiv · 1709.06255

Finite Sample Guarantees for PCA in Non-Isotropic and Data-Dependent Noise

Namrata Vaswani·Praneeth Narayanamurthy

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Abstract

This work obtains novel finite sample guarantees for Principal Component Analysis (PCA). These hold even when the corrupting noise is non-isotropic, and a part (or all of it) is data-dependent. Because of the latter, in general, the noise and the true data are correlated. The results in this work are a significant improvement over those given in our earlier work where this "correlated-PCA" problem was first studied. In fact, in certain regimes, our results imply that the sample complexity required to achieve subspace recovery error that is a constant fraction of the noise level is near-optimal. Useful corollaries of our result include guarantees for PCA in sparse data-dependent noise and for PCA with missing data. An important application of the former is in proving correctness of the subspace update step of a popular online algorithm for dynamic robust PCA.

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Namrata Vaswani, Praneeth Narayanamurthy. 2017-09-19. Finite Sample Guarantees for PCA in Non-Isotropic and Data-Dependent Noise. https://arxiv.org/abs/1709.06255

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