Description: The most basic form of the exact ALM function is [A, E] = exact_alm_rpca(D, λ), and that of the inexact ALM function is [A, E] = inexact_alm_rpca(D, λ), where D is a real matrix and λ is a positive real number. We solve the RPCA problem using the method of augmented Lagrange multipliers. The method converges Q-linearly to the optimal solution. The exact ALM algorithm is simple to implement, each iteration involves computing a partial SVD of a matrix the size of D, and converges to the true solution in a small number of iterations. The algorithm can be further speeded up by using a fast continuation technique, thereby yielding the inexact ALM algorithm.
File list (Check if you may need any files):
exact_alm_rpca
..............\.DS_Store
__MACOSX
........\exact_alm_rpca
........\..............\._.DS_Store
exact_alm_rpca\choosvd.m
..............\exact_alm_rpca.m
__MACOSX\exact_alm_rpca\._exact_alm_rpca.m
exact_alm_rpca\PROPACK
..............\.......\Afunc.m
..............\.......\AtAfunc.m
..............\.......\Atransfunc.m
..............\.......\bdsqr.m
..............\.......\bdsqr.mexglx
..............\.......\bdsqr.mexsg
..............\.......\bdsqr.mexsg64
..............\.......\bdsqr.mexsol
..............\.......\bdsqr.mexw32
..............\.......\bdsqr_mex.c
..............\.......\Cfunc.m
..............\.......\compute_int.m
..............\.......\dbdqr.f
..............\.......\helio.mat
..............\.......\lanbpro.doc
..............\.......\lanbpro.m
..............\.......\lanbpro.txt
..............\.......\laneig.doc
..............\.......\laneig.m
..............\.......\laneig.txt
..............\.......\lanpro.doc
..............\.......\lanpro.m
..............\.......\lanpro.txt
..............\.......\lansvd.doc
..............\.......\lansvd.m
..............\.......\lansvd.txt
..............\.......\mminfo.m
..............\.......\mmread.m
..............\.......\mmwrite.m
..............\.......\pythag.m
..............\.......\refinebounds.m
..............\.......\reorth.f
..............\.......\reorth.m
..............\.......\reorth.mexglx
..............\.......\reorth.mexsg
..............\.......\reorth.mexsg64
..............\.......\reorth.mexsol
..............\.......\reorth_mex.c
..............\.......\test.m
..............\.......\testtqlb.m
..............\.......\tqlb.f
..............\.......\tqlb.m
..............\.......\tqlb.mexglx
..............\.......\tqlb.mexsg
..............\.......\tqlb.mexsg64
..............\.......\tqlb.mexsol
..............\.......\tqlb_mex.c
..............\.......\update_gbound.m
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