robust matrix factorization

There is a very nice algorithm and set of methods called &ldquo;Robust PCA,&rdquo; originating in a paper by Candès . This method makes use of ideas from convex optimization to simultaneously learn a low-rank representation of the data plus a sparse representation for the outliers. This kind of situation comes up in astronomy all the time. Way back, Tsalmantza and I made a replacement for PCA…