Beyond Low Rank plus Sparse: Multiscale Low Rank Matrix Decomposition

We present a natural generalization of the recent low rank + sparse matrix decomposition and consider the decomposition of matrices into components of multiple scales. Such decomposition is well motivated in practice as data matrices often exhibit local correlations in multiple scales. Concretely, we propose a multiscale low rank modeling that represents a data matrix as a sum of block-wise low rank matrices with increasing scales of block sizes. We then consider the inverse problem of decomposing the data matrix into its multiscale low rank components and approach the problem via a convex formulation. Theoretically, we show that under various incoherence conditions, the convex program recovers the multiscale low rank components either exactly or approximately. Practically, we provide guidance on selecting the regularization parameters and incorporate cycle spinning to reduce blocking artifacts. Experimentally, we show that the multiscale low rank decomposition provides a more intuitive decomposition than conventional low rank methods and demonstrate its effectiveness in four applications, including illumination normalization for face images, motion separation for surveillance videos, multiscale modeling of the dynamic contrast enhanced magnetic resonance imaging, and collaborative filtering exploiting age information.