Distributed Consensus for Global Matrix Formation in the Principal Component Pursuit Scenario

The aim behind principal component pursuit is to recover a low-rank matrix and a sparse matrix from a noisy signal which is the sum of both matrices. This optimization problem is a priori and non-convex and is useful in signal processing, data compression, image processing, machine learning, fluid dynamics, and more. Here, a distributed scheme described by a static undirected graph, where each agent only observes part of the noisy or corrupted matrix, is applied to achieve a consensus; then, a robust approach that can also handle missing values is applied using alternating directions to solve the convex relaxation problem, which actually solves the non-convex problem under some weak assumptions. Some examples of image recovery are shown, where the network of agents achieves consensus exponentially fast.