Augmented _1 and nuclear-norm models with a globally linearly convergent algorithm

DOI10.1137/120863290MaRDI QIDQ2873229zbMATH OpenOpenAlexFDO

Authors Ming-Jun Lai, Wotao Yin

Publication date 23 January 2014

Published in SIAM Journal on Imaging Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.4615

zbMATH Keywords

matrix completioncompressed sensingsparse optimizationlow-rank matrixexact regularizationglobal linear convergence

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Convex programming (90C25) Interior-point methods (90C51) Computing methodologies for image processing (68U10)

Abstract: This paper studies the long-existing idea of adding a nice smooth function to "smooth" a non-differentiable objective function in the context of sparse optimization, in particular, the minimization of $||x|{|}_1+1/(2alpha)||x|{|}_2^2$, where $x$ is a vector, as well as the minimization of $||X|{|}_{\ast }+1/(2alpha)||X|{|}_F^2$, where $X$ is a matrix and $||X|{|}_{\ast }$ and $||X|{|}_F$ are the nuclear and Frobenius norms of $X$, respectively. We show that they can efficiently recover sparse vectors and low-rank matrices. In particular, they enjoy exact and stable recovery guarantees similar to those known for minimizing $||x|{|}_1$ and $||X|{|}_{\ast }$ under the conditions on the sensing operator such as its null-space property, restricted isometry property, spherical section property, or RIPless property. To recover a (nearly) sparse vector $x^0$, minimizing $||x|{|}_1+1/(2alpha)||x|{|}_2^2$ returns (nearly) the same solution as minimizing $||x|{|}_1$ almost whenever $alphage10||x^0|{|}_{i}nfty$. The same relation also holds between minimizing $||X|{|}_{\ast }+1/(2alpha)||X|{|}_F^2$ and minimizing $||X|{|}_{\ast }$ for recovering a (nearly) low-rank matrix $X^0$, if $alphage10||X^0|{|}_2$. Furthermore, we show that the linearized Bregman algorithm for minimizing $||x|{|}_1+1/(2alpha)||x|{|}_2^2$ subject to $Ax=b$ enjoys global linear convergence as long as a nonzero solution exists, and we give an explicit rate of convergence. The convergence property does not require a solution solution or any properties on $A$. To our knowledge, this is the best known global convergence result for first-order sparse optimization algorithms.

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