Title: Online Robust Principal Component Analysis with Change Point Detection,
Abstract: Robust PCA methods are typically batch algorithms which requires loading all
observations into memory before processing. This makes them inefficient to
process big data. In this paper, we develop an efficient online robust
principal component methods, namely online moving window robust principal
component analysis (OMWRPCA). Unlike existing algorithms, OMWRPCA can
successfully track not only slowly changing subspace but also abruptly changed
subspace. By embedding hypothesis testing into the algorithm, OMWRPCA can
detect change points of the underlying subspaces. Extensive simulation studies
demonstrate the superior performance of OMWRPCA compared with other
state-of-art approaches. We also apply the algorithm for real-time background
subtraction of surveillance video.