Principal Component Pursuit Matrix Optimization Problem

1 view (last 30 days)
Hi all
How can I solve this problem
let say A is any matrix
then minimize |L|+lambda||S|| subject to L+S=A.
where L is a low rank matric and S is a sparse matrix..The superposition of L and S gives the original matrice A
  1 Comment
Matt J
Matt J on 15 Jan 2014
Edited: Matt J on 15 Jan 2014
What does the || operator signify? Absolute value? Frobenius or some other norm? Determinant?
Also, what are the unknowns? All elements of L and S? If all matrix elements can be chosen freely (apart from the constraint L+S=A), what is to ensure that L will be low rank and what is to ensure that S will be sparse?

Sign in to comment.

Answers (0)

Categories

Find more on Linear Programming and Mixed-Integer Linear Programming in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!