Low-Rank Linear Dynamical Systems for Motor Imagery EEG

Algorithm 1

Low-rank decomposition via the inexact ALM method.

Input: Observation matrix , , penalty weights ,

() ; ; ; .

() while not converged do

() // Lines ()–() solve

() ; ; ;

() while not converged do

() // Line ()-() solves

() (, , ) = svd(

() 

() // Line () solves

()

() Update by solving

()

() end while

() , ,

() ,

()

() end while

Output: ().