An iteratively reweighted least squares algorithm for sparse regularization

DOI10.1090/CONM/693/13941zbMATH Open1392.65074arXiv1511.08970OpenAlexW2263124147MaRDI QIDQ4635396FDOQ4635396

Ingrid Daubechies, S. M. Voronin

Publication date: 16 April 2018

Published in: Functional Analysis, Harmonic Analysis, and Image Processing (Search for Journal in Brave)

Abstract: We present a new algorithm and the corresponding convergence analysis for the regularization of linear inverse problems with sparsity constraints, applied to a new generalized sparsity promoting functional. The algorithm is based on the idea of iteratively reweighted least squares, reducing the minimization at every iteration step to that of a functional including only $el{l}_2$-norms. This amounts to smoothing of the absolute value function that appears in the generalized sparsity promoting penalty we consider, with the smoothing becoming iteratively less pronounced. We demonstrate that the sequence of iterates of our algorithm converges to a limit that minimizes the original functional.

Full work available at URL: https://arxiv.org/abs/1511.08970

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10)

Cites Work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Linearized Bregman iterations for compressed sensing
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• An iterative thresholding algorithm for linear inverse problems with a sparsity constraint
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• Conjugate gradient acceleration of iteratively re-weighted least squares methods

Cited In (9)

• LSMR: An Iterative Algorithm for Sparse Least-Squares Problems
• Wavelet estimation of the dimensionality of curve time series
• Conjugate gradient acceleration of iteratively re-weighted least squares methods
• Sparsity-enforcing regularisation and ISTA revisited
• Sparse matrix transform based weight updating in partial least squares regression
• Conjugate gradient based acceleration for inverse problems
• Title not available (Why is that?)
• Enhancing Sparsity and Resolution via Reweighted Atomic Norm Minimization
• Proximal methods for reweighted \(l_Q\)-regularization of sparse signal recovery

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