PPApack version 0 -- a MATLAB software for nuclear norm minimization based on proximal point algorithms

Yongjin Liu, Defeng Sun and Kim-Chuan Toh

The software was first released on 18 Nov 2009. It was last updated in 25 Nov 2009 with some minor bugs corrected. The software is designed to solve nuclear norm minimization problems of the form:
   min_X {sum(svd(X)) : norm(A1(X)-b1)<=delta, A2(X)-b2>=0, A3(X)-b3=0}

   where delta is a non-negative scalar. 
Important note: this is a research software. It is not intended nor designed to be a general purpose software at the moment. The solver is expected to work well only for favorable problems such as nuclear norm regularized random matrix completion problems. Being a gradient method, it is quite sensitive to the various parameters used in the algorithm. The selection of the parameters typically depend on the class of problems being solved.
For more details, see:
  • Yongjin Liu, Defeng Sun, and Kim-Chuan Toh, An implementable proximal point algorithmic framework for nuclear norm minimization , preprint, National University of Singapore, July 2009.