Robust subspace recovery by Tyler's M-estimator

Abstract: This paper considers the problem of robust subspace recovery: given a set of $N$ points in $\mathbb{R}<sup>D$, if many lie in a $d$-dimensional subspace, then can we recover the underlying subspace? We show that Tyler's M-estimator can be used to recover the underlying subspace, if the percentage of the inliers is larger than $d/D$ and the data points lie in general position. Empirically, Tyler's M-estimator compares favorably with other convex subspace recovery algorithms in both simulations and experiments on real data sets.