rpca: RobustPCA: Decompose a Matrix into Low-Rank and Sparse Components

Suppose we have a data matrix, which is the superposition of a low-rank component and a sparse component. Candes, E. J., Li, X., Ma, Y., & Wright, J. (2011). Robust principal component analysis?. Journal of the ACM (JACM), 58(3), 11. prove that we can recover each component individually under some suitable assumptions. It is possible to recover both the low-rank and the sparse components exactly by solving a very convenient convex program called Principal Component Pursuit; among all feasible decompositions, simply minimize a weighted combination of the nuclear norm and of the L1 norm. This package implements this decomposition algorithm resulting with Robust PCA approach.

Package details

AuthorMaciek Sykulski [aut, cre]
MaintainerMaciek Sykulski <macieksk@gmail.com>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the rpca package in your browser

Any scripts or data that you put into this service are public.

rpca documentation built on May 2, 2019, 6:01 a.m.