RPCA Procedure
References
Candès, E. J., Li, X., Ma, Y., and Wright, J. (2011). “Robust Principal Component Analysis?” Journal of the Association for Computing Machinery 58:1–37.
Lin, Z., Ganesh, A., Wright, J., Wu, L., Chen, M., and Ma, Y. (2009). “Fast Convex Optimization Algorithms for Exact Recovery of a Corrupted Low-Rank Matrix.” In IEEE International Workshop on Computational Advances in Multi-sensor Adaptive Processing. Piscataway, NJ: Institute of Electrical and Electronics Engineers.
Zhou, Z., Li, X., Wright, J., Candès, E. J., and Ma, Y. (2010). “Stable Principal Component Pursuit.” In IEEE International Symposium on Information Theory Proceedings, 1518–1522. Piscataway, NJ: Institute of Electrical and Electronics Engineers.