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—This work studies the recursive robust principal components' analysis (PCA) problem. Here, " robust " refers to robustness to both independent and correlated sparse outliers, although we focus on the latter. A key application where this problem occurs is in video surveillance where the goal is to separate a slowly changing background from moving foreground… (More)

In the recent work of Candes et al, the problem of recovering low rank matrix corrupted by i.i.d. sparse outliers is studied and a very elegant solution, principal component pursuit, is proposed. It is motivated as a tool for video surveillance applications with the background image sequence forming the low rank part and the moving… (More)

This paper designs and extensively evaluates an online algorithm, called practical recursive projected compressive sensing (Prac-ReProCS), for recovering a time sequence of sparse vectors St and a time sequence of dense vectors L<sub>t</sub> from their sum, M<sub>t</sub>: = S<sub>t</sub> + L<sub>t</sub>, when the L<sub>t</sub>'s lie in a slowly changing… (More)

This work proposes a causal and recursive algorithm for solving the “robust” principal components' analysis problem. We primarily focus on robustness to correlated outliers. In recent work, we proposed a new way to look at this problem and showed how a key part of its solution strategy involves solving a noisy compressive sensing (CS) problem.… (More)

This paper studies the recursive robust principal components analysis problem. If the outlier is the signal-of-interest, this problem can be interpreted as one of recursively recovering a time sequence of sparse vectors, St, in the presence of large but structured noise, Lt. The structure that we assume on Lt is that Lt is dense and lies in a… (More)

In recent work, Kalman Filtered Compressed Sensing (KF-CS) was proposed to causally reconstruct time sequences of sparse signals, from a limited number of “incoherent” measurements. In this work, we develop the KF-CS idea for causal reconstruction of medical image sequences from MR data. This is the first real application of KF-CS and is… (More)

In this work, we focus on the problem of recursively recovering a time sequence of sparse signals, with time-varying sparsity patterns, from highly undersampled measurements corrupted by very large but correlated noise. It is assumed that the noise is correlated enough to have an approximately low rank covariance matrix that is either constant, or changes… (More)

—In this work, we experimentally evaluate and verify model assumptions for our recently proposed algorithm (practical ReProCS) for recovering a time sequence of sparse vectors St and a time sequence of dense vectors Lt from their sum, Mt := St + Lt, when Lt lies in a slowly changing low-dimensional subspace. A key application where this problem occurs is in… (More)

We study the problem of recursively recovering a time sequence of sparse vectors, St, from measurements Mt := St + Lt that are corrupted by structured noise Lt which is dense and can have large magnitude. The structure that we require is that Lt should lie in a low dimensional subspace that is either fixed or changes " slowly enough " ; and the eigenvalues… (More)

We study the problem of recursively reconstructing a time sequence of sparse vectors S<sub>t</sub> from measurements of the form M<sub>t</sub> = AS<sub>t</sub> +BL<sub>t</sub> where A and B are known measurement matrices, and L<sub>t</sub> lies in a slowly changing low dimensional subspace. We assume that the signal of interest (S<sub>t</sub>) is sparse,… (More)