Alternating Direction Method of Multipliers for Sparse
AbstractWeconsideraconvexrelaxationofsparseprincipalcomponentanalysis
proposedbyd’Aspremontetal.(SIAMRev.49:434–448,2007).Thisconvexrelaxationisanonsmoothsemidefiniteprogrammingprobleminwhichthe1normofthe
desiredmatrixisimposedineithertheobjectivefunctionorthe
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