Pursuit of low-rank models of time-varying matrices robust to sparse and measurement noise

Abstract

In tracking of time-varying low-rank models of time-varying matrices, we present a method robust to both uniformlydistributed measurement noise and arbitrarily-distributed "sparse"noise. In theory, we bound the tracking error. In practice, our use of randomised coordinate descent is scalable and allows for encouraging results on changedetection.net, a benchmark.