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2009

Rank-Sparsity Incoherence for Matrix Decomposition

Chandrasekaran, Venkat, Sanghavi, Sujay, Parrilo, Pablo A. et al.

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Suppose we are given a matrix that is formed by adding an unknown sparse matrix to an unknown low-rank matrix.

Our goal is to decompose the given matrix into its sparse and low-rank components.
Such a problem arises in a number of applications in model and system identification, and is NP-hard in general.
In this paper we consider a convex optimization formulation to splitting the specified matrix into its components, by minimizing a linear combination of the $\ell_1$ norm and the nuclear norm of the components.

Rank-Sparsity Incoherence for Matrix Decomposition · Around

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