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A new and improved quantitative recovery analysis for iterative hard thresholding algorithms in compressed sensing

Coralia Cartis(coralia.cartis***at***maths.ox.ac.uk)
Andrew Thompson(thompson***at***math.duke.edu)

Abstract: We present a new recovery analysis for a standard compressed sensing algorithm, Iterative Hard Thresholding (IHT) (Blumensath and Davies, 2008), which considers the fixed points of the algorithm. In the context of arbitrary measurement matrices, we derive a sufficient condition for convergence of IHT to a fixed point and a necessary condition for the existence of fixed points. These conditions allow us to perform a sparse signal recovery analysis in the deterministic noiseless case by implying that the original sparse signal is the unique fixed point and limit point of IHT, and in the case of Gaussian measurement matrices and noise by generating a bound on the approximation error of the IHT limit as a multiple of the noise level. By generalizing the notion of fixed points, we extend our analysis to the variable stepsize Normalised IHT (N-IHT) (Blumensath and Davies, 2010). For both stepsize schemes, we obtain asymptotic phase transitions in a proportional-dimensional framework, quantifying the sparsity/undersampling trade-off for which recovery is guaranteed. Exploiting the reasonable average-case assumption that the underlying signal and measurement matrix are independent, comparison with previous results within this framework shows a substantial quantitative improvement.

Keywords: nonconvex optimization, gradient methods, compressed sensing

Category 1: Nonlinear Optimization

Category 2: Applications -- Science and Engineering

Citation: Technical Report NA-13/20, Numerical Analysis Group, Mathematical Institute, University of Oxford, UK.

Download: [PDF]

Entry Submitted: 09/21/2013
Entry Accepted: 09/21/2013
Entry Last Modified: 09/21/2013

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