HoRPCA : Robust Low-Rank Tensor Recovery: Models and Algorithms - implementation -

So the field of tensor completion solvers is getting some notice, Tony just kindly pointed me to his recent release of his recent implementation (please check the README file)

Robust Low-Rank Tensor Recovery: Models and Algorithms by Donald Goldfarb, Zhiwei (Tony) Qin

Robust tensor recovery plays an instrumental role in robustifying tensor decompositions for multilinear data analysis against outliers, gross corruptions and missing values and has a diverse array of applications. In this paper, we study the problem of robust low-rank tensor recovery in a convex optimization framework, drawing upon recent advances in robust Principal Component Analysis and tensor completion. We propose tailored optimization algorithms with global convergence guarantees for solving both the constrained and the Lagrangian formulations of the problem. These algorithms are based on the highly e cient alternating direction augmented Lagrangian and accelerated proximal gradient methods. We also propose a nonconvex model that can often improve the recovery results from the convex models. We investigate the empirical recoverability properties of the convex and nonconvex formulations and compare the computational performance of the algorithms on simulated data. We demonstrate through a number of real applications the practical eff ectiveness of this convex optimization framework for robust low-rank tensor recovery.

The attendant implementation is available here.



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