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math.OC2013
An Alternating Direction Method with Increasing Penalty for Stable Principal Component Pursuit
Necdet Serhat Aybat, Garud Iyengar
The stable principal component pursuit (SPCP) is a non-smooth convex optimization problem, the solution of which enables one to reliably recover the low rank and sparse components…
math.OC2013★ 20 cited
An Augmented Lagrangian Method for Conic Convex Programming
Necdet Serhat Aybat, Garud Iyengar
We propose a new first-order augmented Lagrangian algorithm ALCC for solving convex conic programs of the form min{rho(x)+gamma(x): Ax-b in K, x in chi}, where rho and gamma are cl…