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.
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