Principal Component Pursuit in Python

This is a Python implementation of the Principal Component Pursuit algorithm for robust PCA.

This implementation uses the fbpca implementation of approximate partial SVD for speed so you'll need to install that first.

Usage

TODO

Applied to the 'Escalator' dataset (using the code in the demo.py script, this algorithm produces a video with frames that look like:

This is open source software written by Dan Foreman-Mackey and released under the terms of the MIT license (see LICENSE).