Accelerated projected gradient method for linear inverse problems with sparsity constraints
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convergencenumerical examplesalgorithmgradient methoditerative methodsteepest descent methodill-posed linear inverse problems
Numerical optimization and variational techniques (65K10) Convex programming (90C25) Ill-posedness and regularization problems in numerical linear algebra (65F22) Inverse problems in linear algebra (15A29) Convex functions and convex programs in convex geometry (52A41) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Numerical solution to inverse problems in abstract spaces (65J22) Linear operators and ill-posed problems, regularization (47A52) Numerical solutions to equations with linear operators (65J10)
Abstract: Regularization of ill-posed linear inverse problems via penalization has been proposed for cases where the solution is known to be (almost) sparse. One way to obtain the minimizer of such an penalized functional is via an iterative soft-thresholding algorithm. We propose an alternative implementation to -constraints, using a gradient method, with projection on -balls. The corresponding algorithm uses again iterative soft-thresholding, now with a variable thresholding parameter. We also propose accelerated versions of this iterative method, using ingredients of the (linear) steepest descent method. We prove convergence in norm for one of these projected gradient methods, without and with acceleration.
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