A Fast Iterative Robust Principal Component Analysis Method

Abstract: Principal Component Analysis (PCA) is widely used for dimensionality reduction and data analysis. However, PCA results are adversely affected by outliers often observed in real-world data. Existing robust PCA methods are often computationally expensive or exhibit limited robustness. In this work, we introduce a Fast Iterative Robust (FIR) PCA method by efficiently estimating the inliers center location and covariance. Our approach leverages Incremental PCA (IPCA) to iteratively construct a subset of data points that ensures improved location and covariance estimation that effectively mitigates the influence of outliers on PCA projection. We demonstrate that our method achieves competitive accuracy and performance compared to existing robust location and covariance methods while offering improved robustness to outlier contamination. We utilize simulated and real-world datasets to evaluate and demonstrate the efficacy of our approach in identifying and preserving underlying data structures in the presence of contamination.