initial value for mu is not consistent with the paper

[zhangxiangnick]

the parameter "mu" in Candes paper (http://statweb.stanford.edu/~candes/papers/RobustPCA.pdf, see Eqn. 5.1) is actually the inverse of "mu" in Zhou's paper (http://arxiv.org/abs/1001.2363, see Eqn. 15). Therefore, in the anomalydetection.cpp, it should be

double mu = 4_X.lpNorm<1>()/(m_n);

instead of

double mu = m_n / (4_X.lpNorm<1>());

to be consistent with both papers. This also makes sense because in the getDynamicMu(), mu is set to be linear with "sigma", not with inverse of "sigma".

[wuciawe]

Hi, I've got confused with this implementation. It seems that the implementation doesn't follow the Candes paper, why is the E_{k} part missing in updating L, X and E?