1 code implementation • 5 Jun 2023 • Dimitris Bertsimas, Nicholas A. G. Johnson
We derive a second order cone relaxation of this problem and show that under mild conditions on the regularization parameter, the resulting relaxation is equivalent to the well studied basis pursuit denoising problem.
1 code implementation • 26 Sep 2021 • Dimitris Bertsimas, Ryan Cory-Wright, Nicholas A. G. Johnson
We study the Sparse Plus Low-Rank decomposition problem (SLR), which is the problem of decomposing a corrupted data matrix into a sparse matrix of perturbations plus a low-rank matrix containing the ground truth.