|Stochastic Systems Group|
Suppose an n x n matrix X is the sum of a diagonal and a positive semifedinite low-rank matrix. Decomposing X into these unknown constituents has applications in statistics, signal processing, and elsewhere. We give a simple condition on the column space of the low rank matrix that ensures a tractible convex program can correctly decompose X. Our analysis highlights connections between this problem and the structure of the set of correlation matrices.
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