Robust Prinicipal Components in Python

nwbirnie Last update: Oct 28, 2023

Robust Principal Components

This is an implementation of the Robust Principal Components algorithm from [1] in Python. The numpy library is used for basic matrix manipulation and SVD implementations. The optimisation algorithm employed is ALM (Alternating Lagrangian Multipliers.)

Appendix

[1] Candes, Emmanuel J., et al. "Robust principal component analysis?." Journal of the ACM 58.3 (2011).

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nwbirnie

GitHub Repository https://github.com/nwbirnie

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