Projection Onto A Simplex

This mini-paper presents a fast and simple algorithm to compute the projection onto the canonical simplex $\triangle^n$. Utilizing the Moreau's identity, we show that the problem is essentially a univariate minimization and the objective function is strictly convex and continuously differentiable. Moreover, it is shown that there are at most n candidates which can be computed explicitly, and the minimizer is the only one that falls into the correct interval

Denosing Using Wavelets and Projections onto the L1-Ball

Both wavelet denoising and denosing methods using the concept of sparsity are based on soft-thresholding. In sparsity based denoising methods, it is assumed that the original signal is sparse in some transform domains such as the wavelet domain and the wavelet subsignals of the noisy signal are projected onto L1-balls to reduce noise. In this lecture note, it is shown that the size of the L1-ball or equivalently the soft threshold value can be determined using linear algebra. The key step is an orthogonal projection onto the epigraph set of the L1-norm cost function.Comment: Submitted to Signal Processing Magazin

Stochastic Optimization of PCA with Capped MSG

We study PCA as a stochastic optimization problem and propose a novel stochastic approximation algorithm which we refer to as "Matrix Stochastic Gradient" (MSG), as well as a practical variant, Capped MSG. We study the method both theoretically and empirically

A variational approach to stable principal component pursuit

We introduce a new convex formulation for stable principal component pursuit (SPCP) to decompose noisy signals into low-rank and sparse representations. For numerical solutions of our SPCP formulation, we first develop a convex variational framework and then accelerate it with quasi-Newton methods. We show, via synthetic and real data experiments, that our approach offers advantages over the classical SPCP formulations in scalability and practical parameter selection.Comment: 10 pages, 5 figure