Principal Component Pursuit Matrix Optimization Problem

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 commentaire

Matt J
Matt J le 15 Jan 2014
Modifié(e) : Matt J le 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?

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