Kyle & Andreas,
Here is my github repo:
https://github.com/apapanico/RPCA
Responses:
1. I didn't make the GSoC suggestion a few years (also not a student
anymore :-(, just using RPCA for work), I just came across it in a google
search when trying to find python implementations.
2. As for GoDec, I have not poked around with it but I would like to. I
had intended to use this as a starting point:
https://sites.google.com/site/godecomposition/home
But yea, it sounds like it can go much bigger. But if I'm not mistaken,
it's technically a different problem (low rank + sparse + noise).
3. Regarding PROPACK, the main routine needed is lansvd which implements
Lanczos bidiagonalization with partial reorthogonalization. I do not know
what else that depends on. I also do not know if there's an implementation
in C which would be preferred, obviously. A routine for computing only
top-k singular triplets is pretty key for making Candes' ALM method as
efficient as possible. Along these lines, I started out using the
randomized SVD from sklearn but I was failing my tests generated with the
original Matlab code so I switched to numpy svd and then finally svdp in
pypropack.
Cheers,
Alex
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