Optimally Tuned Iterative Reconstruction Algorithms for Compressed Sensing

We conducted an extensive computational experiment, lasting multiple CPU-years, to optimally select parameters for two important classes of algorithms for finding sparse solutions of underdetermined systems of linear equations. We make the optimally tuned implementations available at {\tt sparselab.stanford.edu}; they run `out of the box' with no user tuning: it is not necessary to select thresholds or know the likely degree of sparsity. Our class of algorithms includes iterative hard and soft thresholding with or without relaxation, as well as CoSaMP, subspace pursuit and some natural extensions. As a result, our optimally tuned algorithms dominate such proposals. Our notion of optimality is defined in terms of phase transitions, i.e. we maximize the number of nonzeros at which the algorithm can successfully operate. We show that the phase transition is a well-defined quantity with our suite of random underdetermined linear systems. Our tuning gives the highest transition possible within each class of algorithms.Comment: 12 pages, 14 figure

Message Passing Algorithms for Compressed Sensing

Compressed sensing aims to undersample certain high-dimensional signals, yet accurately reconstruct them by exploiting signal characteristics. Accurate reconstruction is possible when the object to be recovered is sufficiently sparse in a known basis. Currently, the best known sparsity-undersampling tradeoff is achieved when reconstructing by convex optimization -- which is expensive in important large-scale applications. Fast iterative thresholding algorithms have been intensively studied as alternatives to convex optimization for large-scale problems. Unfortunately known fast algorithms offer substantially worse sparsity-undersampling tradeoffs than convex optimization. We introduce a simple costless modification to iterative thresholding making the sparsity-undersampling tradeoff of the new algorithms equivalent to that of the corresponding convex optimization procedures. The new iterative-thresholding algorithms are inspired by belief propagation in graphical models. Our empirical measurements of the sparsity-undersampling tradeoff for the new algorithms agree with theoretical calculations. We show that a state evolution formalism correctly derives the true sparsity-undersampling tradeoff. There is a surprising agreement between earlier calculations based on random convex polytopes and this new, apparently very different theoretical formalism.Comment: 6 pages paper + 9 pages supplementary information, 13 eps figure. Submitted to Proc. Natl. Acad. Sci. US

Orthonormal Expansion l1-Minimization Algorithms for Compressed Sensing

Compressed sensing aims at reconstructing sparse signals from significantly reduced number of samples, and a popular reconstruction approach is $\ell_1$-norm minimization. In this correspondence, a method called orthonormal expansion is presented to reformulate the basis pursuit problem for noiseless compressed sensing. Two algorithms are proposed based on convex optimization: one exactly solves the problem and the other is a relaxed version of the first one. The latter can be considered as a modified iterative soft thresholding algorithm and is easy to implement. Numerical simulation shows that, in dealing with noise-free measurements of sparse signals, the relaxed version is accurate, fast and competitive to the recent state-of-the-art algorithms. Its practical application is demonstrated in a more general case where signals of interest are approximately sparse and measurements are contaminated with noise.Comment: 7 pages, 2 figures, 1 tabl

Sparse Vector Distributions and Recovery from Compressed Sensing

It is well known that the performance of sparse vector recovery algorithms from compressive measurements can depend on the distribution underlying the non-zero elements of a sparse vector. However, the extent of these effects has yet to be explored, and formally presented. In this paper, I empirically investigate this dependence for seven distributions and fifteen recovery algorithms. The two morals of this work are: 1) any judgement of the recovery performance of one algorithm over that of another must be prefaced by the conditions for which this is observed to be true, including sparse vector distributions, and the criterion for exact recovery; and 2) a recovery algorithm must be selected carefully based on what distribution one expects to underlie the sensed sparse signal.Comment: Originally submitted to IEEE Signal Processing Letters in March 2011, but rejected June 2011. Revised, expanded, and submitted July 2011 to EURASIP Journal special issue on sparse signal processin