8,251 research outputs found
Distributed soft thresholding for sparse signal recovery
In this paper, we address the problem of distributed sparse recovery of
signals acquired via compressed measurements in a sensor network. We propose a
new class of distributed algorithms to solve Lasso regression problems, when
the communication to a fusion center is not possible, e.g., due to
communication cost or privacy reasons. More precisely, we introduce a
distributed iterative soft thresholding algorithm (DISTA) that consists of
three steps: an averaging step, a gradient step, and a soft thresholding
operation. We prove the convergence of DISTA in networks represented by regular
graphs, and we compare it with existing methods in terms of performance,
memory, and complexity.Comment: Revised version. Main improvements: extension of the convergence
theorem to regular graphs; new numerical results and comparisons with other
algorithm
An ADMM Algorithm for a Class of Total Variation Regularized Estimation Problems
We present an alternating augmented Lagrangian method for convex optimization
problems where the cost function is the sum of two terms, one that is separable
in the variable blocks, and a second that is separable in the difference
between consecutive variable blocks. Examples of such problems include Fused
Lasso estimation, total variation denoising, and multi-period portfolio
optimization with transaction costs. In each iteration of our method, the first
step involves separately optimizing over each variable block, which can be
carried out in parallel. The second step is not separable in the variables, but
can be carried out very efficiently. We apply the algorithm to segmentation of
data based on changes inmean (l_1 mean filtering) or changes in variance (l_1
variance filtering). In a numerical example, we show that our implementation is
around 10000 times faster compared with the generic optimization solver SDPT3
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