Oracle Based Active Set Algorithm for Scalable Elastic Net Subspace Clustering
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State-of-the-art subspace clustering methods are based on expressing each data point as a linear combination of other data points while regularizing the matrix of coefficients with ℓ_1, ℓ_2 or nuclear norms. ℓ_1 regularization is guaranteed to give a subspace-preserving affinity (i.e., there are no connections between points from different subspaces) under broad theoretical conditions, but the clusters may not be connected. ℓ_2 and nuclear norm regularization often improve connectivity, but give a subspace-preserving affinity only for independent subspaces. Mixed ℓ_1, ℓ_2 and nuclear norm regularizations offer a balance between the subspace-preserving and connectedness properties, but this comes at the cost of increased computational complexity. This paper studies the geometry of the elastic net regularizer (a mixture of the ℓ_1 and ℓ_2 norms) and uses it to derive a provably correct and scalable active set method for finding the optimal coefficients. Our geometric analysis also provides a theoretical justification and a geometric interpretation for the balance between the connectedness (due to ℓ_2 regularization) and subspace-preserving (due to ℓ_1 regularization) properties for elastic net subspace clustering. Our experiments show that the proposed active set method not only achieves state-of-the-art clustering performance, but also efficiently handles large-scale datasets.
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