Robust subspace recovery by geodesically convex optimization
We introduce Tyler's M-estimator to robustly recover the underlying linear model from a data set contaminated by outliers. We prove that the objective function of this estimator is geodesically convex on the manifold of all positive definite matrices and have a unique minimizer. Besides, we prove that when inliers (i.e., points that are not outliers) are sampled from a subspace and the percentage of outliers is bounded by some number, then under some very weak assumptions a commonly used algorithm of this estimator can recover the underlying subspace exactly. We also show that empirically this algorithm compares favorably with other convex algorithms of subspace recovery.