3,335 research outputs found
Computational Methods for Sparse Solution of Linear Inverse Problems
The goal of the sparse approximation problem is to approximate a target signal using a linear combination of a few elementary signals drawn from a fixed collection. This paper surveys the major practical algorithms for sparse approximation. Specific attention is paid to computational issues, to the circumstances in which individual methods tend to perform well, and to the theoretical guarantees available. Many fundamental questions in electrical engineering, statistics, and applied mathematics can be posed as sparse approximation problems, making these algorithms versatile and relevant to a plethora of applications
FAASTA: A fast solver for total-variation regularization of ill-conditioned problems with application to brain imaging
The total variation (TV) penalty, as many other analysis-sparsity problems,
does not lead to separable factors or a proximal operatorwith a closed-form
expression, such as soft thresholding for the penalty. As a result,
in a variational formulation of an inverse problem or statisticallearning
estimation, it leads to challenging non-smooth optimization problemsthat are
often solved with elaborate single-step first-order methods. When thedata-fit
term arises from empirical measurements, as in brain imaging, it isoften very
ill-conditioned and without simple structure. In this situation, in proximal
splitting methods, the computation cost of thegradient step can easily dominate
each iteration. Thus it is beneficialto minimize the number of gradient
steps.We present fAASTA, a variant of FISTA, that relies on an internal solver
forthe TV proximal operator, and refines its tolerance to balance
computationalcost of the gradient and the proximal steps. We give benchmarks
andillustrations on "brain decoding": recovering brain maps from
noisymeasurements to predict observed behavior. The algorithm as well as
theempirical study of convergence speed are valuable for any non-exact
proximaloperator, in particular analysis-sparsity problems
A Singular Value Thresholding Algorithm for Matrix Completion
This paper introduces a novel algorithm to approximate the matrix with minimum
nuclear norm among all matrices obeying a set of convex constraints. This problem may be understood
as the convex relaxation of a rank minimization problem and arises in many important
applications as in the task of recovering a large matrix from a small subset of its entries (the famous
Netflix problem). Off-the-shelf algorithms such as interior point methods are not directly amenable
to large problems of this kind with over a million unknown entries. This paper develops a simple
first-order and easy-to-implement algorithm that is extremely efficient at addressing problems in
which the optimal solution has low rank. The algorithm is iterative, produces a sequence of matrices
{X^k,Y^k}, and at each step mainly performs a soft-thresholding operation on the singular values
of the matrix Y^k. There are two remarkable features making this attractive for low-rank matrix
completion problems. The first is that the soft-thresholding operation is applied to a sparse matrix;
the second is that the rank of the iterates {X^k} is empirically nondecreasing. Both these facts allow
the algorithm to make use of very minimal storage space and keep the computational cost of each
iteration low. On the theoretical side, we provide a convergence analysis showing that the sequence
of iterates converges. On the practical side, we provide numerical examples in which 1,000 × 1,000
matrices are recovered in less than a minute on a modest desktop computer. We also demonstrate
that our approach is amenable to very large scale problems by recovering matrices of rank about
10 with nearly a billion unknowns from just about 0.4% of their sampled entries. Our methods are
connected with the recent literature on linearized Bregman iterations for ℓ_1 minimization, and we
develop a framework in which one can understand these algorithms in terms of well-known Lagrange
multiplier algorithms
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