Applied Mathematics and Mechanics (English Edition) ›› 2014, Vol. 35 ›› Issue (2): 259-268.doi: https://doi.org/10.1007/s10483-014-1788-6

• 论文 • 上一篇    

Proximity point algorithm for low-rank matrix recovery from sparse noise corrupted data

朱玮1 舒适1,2 成礼智3   

  1. 1. School of Mathematics and Computational Science, Xiangtan University, Xiangtan 411105, Hunan Province, P. R. China;
    2. Hunan Key Laboratory for Computation and Simulation in Science and Engineering, Xiangtan University, Xiangtan 411105, Hunan Province, P. R. China;
    3. Department of Mathematics and Computational Science, College of Science, National University of Defense Technology, Changsha 410073, P. R. China
  • 收稿日期:2013-04-07 修回日期:2013-05-27 出版日期:2014-02-27 发布日期:2014-02-18

Proximity point algorithm for low-rank matrix recovery from sparse noise corrupted data

 ZHU Wei1, SHU Shi1,2, CHENG Li-Zhi3   

  1. 1. School of Mathematics and Computational Science, Xiangtan University, Xiangtan 411105, Hunan Province, P. R. China;
    2. Hunan Key Laboratory for Computation and Simulation in Science and Engineering, Xiangtan University, Xiangtan 411105, Hunan Province, P. R. China;
    3. Department of Mathematics and Computational Science, College of Science, National University of Defense Technology, Changsha 410073, P. R. China
  • Received:2013-04-07 Revised:2013-05-27 Online:2014-02-27 Published:2014-02-18

摘要: The method of recovering a low-rank matrix with an unknown fraction whose entries are arbitrarily corrupted is known as the robust principal component analysis (RPCA). This RPCA problem, under some conditions, can be exactly solved via convex optimization by minimizing a combination of the nuclear norm and the l1 norm. In this paper, an algorithm based on the Douglas-Rachford splitting method is proposed for solving the RPCA problem. First, the convex optimization problem is solved by canceling the constraint of the variables, and then the proximity operators of the objective function are computed alternately. The new algorithm can exactly recover the low-rank and sparse components simultaneously, and it is proved to be convergent. Numerical simulations demonstrate the practical utility of the proposed algorithm.

关键词: 广义磁_微极热弹性, 轴对称问题, 机械源和热源, Laplace变换, Hankel变换, low-rank matrix recovery, sparse noise, Douglas-Rachford splitting method, proximity operator

Abstract: The method of recovering a low-rank matrix with an unknown fraction whose entries are arbitrarily corrupted is known as the robust principal component analysis (RPCA). This RPCA problem, under some conditions, can be exactly solved via convex optimization by minimizing a combination of the nuclear norm and the l1 norm. In this paper, an algorithm based on the Douglas-Rachford splitting method is proposed for solving the RPCA problem. First, the convex optimization problem is solved by canceling the constraint of the variables, and then the proximity operators of the objective function are computed alternately. The new algorithm can exactly recover the low-rank and sparse components simultaneously, and it is proved to be convergent. Numerical simulations demonstrate the practical utility of the proposed algorithm.

Key words: axi-symmetric problem, mechanical and thermal sources, Laplace and Hankel transforms, generalized magneto-micropolar thermoelasticity, low-rank matrix recovery, sparse noise, Douglas-Rachford splitting method, proximity operator

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