Principal Component Pursuit Matrix Optimization Problem
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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
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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?
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2014-1-15
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