Beyond Low Rank + Sparse: Multiscale Low Rank Matrix Decomposition
Beyond Low Rank + Sparse: Multiscale Low Rank Matrix Decomposition
We present a natural generalization of the recent low rank + sparse matrix decomposition and consider the decomposition of matrices into components of multiple scales. Such decomposition is well motivated in practice as data matrices often exhibit local correlations in multiple scales. Concretely, we propose a multi-scale low rank modeling …