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Thread: Robust Principal Component Analysis and duality

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    Question Robust Principal Component Analysis and duality

    Hi every one,

    I have the following dual problems (which is attached) but I cannot figure out how can I get the dual from primal (A is a low-rank matrix and E is a sparse matrix). That is really appreciated if anyone can help me. This is the paper I refer to:
    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. Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP), 61(6).
    Attached Thumbnails Attached Thumbnails Robust Principal Component Analysis and duality-rpca.jpg  
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