Fast First-Order Methods for Stable Principal Component Pursuit

11 May 2011Necdet Serhat AybatDonald GoldfarbGarud Iyengar

The stable principal component pursuit (SPCP) problem is a non-smooth convex optimization problem, the solution of which has been shown both in theory and in practice to enable one to recover the low rank and sparse components of a matrix whose elements have been corrupted by Gaussian noise. In this paper, we show how several fast first-order methods can be applied to this problem very efficiently... (read more)

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