Large factor model estimation by nuclear norm plus ℓ1 norm penalization.

Matteo Farnè Angela Montanari

Published in: J. Multivar. Anal. (2024)

Keyphrases

low rank matrices
nuclear norm
low rank
norm minimization
matrix completion
low rank matrix
convex optimization
missing data
image processing
high dimensional
objective function
model selection
matrix factorization
variable selection
interior point methods