Subspace Recovery from Heterogeneous Data with Non-isotropic Noise

*= Equal Contributions
Recovering linear subspaces from data is a fundamental and important task in statistics and machine learning. Motivated by heterogeneity in Federated Learning settings, we study a basic formulation of this problem: the principal component analysis (PCA), with a focus on dealing with irregular noise. Our data come from users with user contributing data samples from a -dimensional distribution with mean . Our goal is to recover the linear subspace shared by using the data points from all users, where every data point from user is formed by adding an independent…