Median K-Flats for hybrid linear modeling with many outliers
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TL;DR
The MedianK-flats (MKF) algorithm is described, a simple online method for hybrid linear modeling, i.e., for approximating data by a mixture of flats, which simultaneously partitions the data into clusters while finding their corresponding best approximating ℓ1 d-Flats.
Abstract
We describe the Median K-Flats (MKF) algorithm, a simple online method for\nhybrid linear modeling, i.e., for approximating data by a mixture of flats.\nThis algorithm simultaneously partitions the data into clusters while finding\ntheir corresponding best approximating l1 d-flats, so that the cumulative l1\nerror is minimized. The current implementation restricts d-flats to be\nd-dimensional linear subspaces. It requires a negligible amount of storage, and\nits complexity, when modeling data consisting of N points in D-dimensional\nEuclidean space with K d-dimensional linear subspaces, is of order O(n K d D+n\nd^2 D), where n is the number of iterations required for convergence\n(empirically on the order of 10^4). Since it is an online algorithm, data can\nbe supplied to it incrementally and it can incrementally produce the\ncorresponding output. The performance of the algorithm is carefully evaluated\nusing synthetic and real data.\n
