Robust Principal Component Analysis via ADMM in Python

This is a Python implementation of the RPCA algorithm from [1,2] that uses an ADMM version of matrix decomposition. Blog post associated with this repo can be found here.

Appendix

[1] Parikh, N., & Boyd, S. (2013). Proximal algorithms. Foundations and Trends in optimization, 1(3), 123-231.
[2] Parikh, Chu, Boyd (2013) Matrix decomposition
[3] Parikh, Chu, Boyd (2013) Proximal operator of a matrix function
[4] Parikh, Chu, Boyd (2013) Proximal operator of the L1 norm