Robust Subspace Tracking with Contamination Mitigation via α-Divergence

Abstract

We studied the problem of robust subspace tracking (RST) in contaminated environments. Leveraging the fast approximated power iteration and α-divergence, a novel robust algorithm called αFAPI was developed for tracking the underlying principal subspace of streaming data over time. αFAPI is fast and it outperforms many RST methods while only having a low complexity linear to the data dimension. Some experiments were conducted to illustrate the performance of αFAPI.