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So I have got this weird function which can be formulated in to objective function as shown on the image attached. I do know I can't use any L2 Low rank matrix factorization(LRMF) algorithms to solve this as this is considered a weighted Low rank matrix factorization(LRMF). I have looked at Iterative reweighted least square and Weighted principal component analysis but unfortunately they are available in matlab only. Any one knows any python functions I can use to solve this problem? My project does not require me to write a L2 LRMF algorithm and merely requires me to solve it using any existing functions. Any help would be ideal.

MLLearner
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  • defining LRMF, IRLS, WPCA would help to make this question more appealing. Also, does the circled dot notation denote Hadamard product? Or something else? – Anton Menshov Nov 27 '19 at 23:29
  • I edited the question and defined the keywords. Yes it is hadamard product. – MLLearner Nov 27 '19 at 23:33

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