A Primal Dual Active Set Algorithm for a Class of Nonconvex Sparsity Optimization

@inproceedings{Jiao2013APD,
  title={A Primal Dual Active Set Algorithm for a Class of Nonconvex Sparsity Optimization},
  author={Yuling Jiao and Bangti Jin and Xiliang Lu and Weina Ren},
  year={2013}
}
In this paper, we consider the problem of recovering a sparse vector from noisy measurement data. Traditionally, it is formulated as a penalized least-squares problem where the sparsity is promoted by an $\ell^1$ penalty. However, recent studies show that nonconvex penalties, such as the $\ell^0$ penalty and bridge penalty, allow more efficient sparse recovery. This gives rise to diverse nonconvex sparsity optimization problems. We develop an algorithm of primal-dual active set type for a class… CONTINUE READING

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