Iteratively re-weighted least squares minimization for sparse recovery

@inproceedings{Daubechies2008IterativelyRL,
  title={Iteratively re-weighted least squares minimization for sparse recovery},
  author={Ingrid Daubechies and Ronald M. Devore and Massimo Fornasier and C. Sinan Gunturk},
  year={2008}
}
We analyze an Iteratively Re-weighted Least Squares (IRLS) algorithm for promoting l1-minimization in sparse and compressible vector recovery. We prove its convergence and we estimate its local rate. We show how the algorithm can be modified in order to promote lt-minimization for t<1, and how this modification produces superlinear rates of convergence. 
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