Finding the sparset solution of an underdetermined system of linear equations
y=Ax has attracted considerable attention in recent years. Among a large
number of algorithms, iterative thresholding algorithms are recognized as one
of the most efficient and important classes of algorithms. This is mainly due
to their low computational complexities, especially for large scale
applications. The aim of this paper is to provide guarantees on the global
convergence of a wide class of iterative thresholding algorithms. Since the
thresholds of the considered algorithms are set adaptively at each iteration,
we call them adaptively iterative thresholding (AIT) algorithms. As the main
result, we show that as long as A satisfies a certain coherence property, AIT
algorithms can find the correct support set within finite iterations, and then
converge to the original sparse solution exponentially fast once the correct
support set has been identified. Meanwhile, we also demonstrate that AIT
algorithms are robust to the algorithmic parameters. In addition, it should be
pointed out that most of the existing iterative thresholding algorithms such as
hard, soft, half and smoothly clipped absolute deviation (SCAD) algorithms are
included in the class of AIT algorithms studied in this paper.Comment: 33 pages, 1 figur