An unknown m by n matrix Xâ‚€ is to be estimated from noisy measurements Y = Xâ‚€ + Z, where the noise matrix Z has i.i.d. Gaussian entries. A popular matrix denoising scheme solves the nuclear norm ...
Many multivariate data-analysis techniques for an m × n matrix Y are related to the model Y = M + E, where Y is an m × n matrix of full rank and M is an unobserved mean matrix of rank K < (m Λ n).