Bayesian Robust Principal Component Analysis with Adaptive Singular Value Penalty

Robust principal component analysis (RPCA) has recently seen ubiquitous activity for dimensionality reduction in image processing, visualization and pattern recognition. Conventional RPCA methods model the low-rank component as regularizing each singular value equally. However, in numerous modern applications, each singular value has different physical meaning and should be treated differently. This is one of the main reasons why RPCA techniques cannot work well in dealing with many realistic problems. To solve this problem, a novel hierarchical Bayesian RPCA model with adaptive singular value penalty is proposed. This model enforces the low-rank constraint by introducing an adaptive penalty function on the singular values of the low-rank component. In particular, we impose a hierarchical Exponent-Gamma prior on the singular values of the low-rank component and the Beta-Bernoulli prior on sparsity indicators. The variational Bayesian framework and the Markov chain Monte Carlo-based Bayesian inference are considered for inferring the posteriors of all latent variables involved in low-rank and sparse components. Numerical experiments demonstrate the competitive performance of the proposed model on synthetic and real data.