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Sparse Recovery via Partial Regularization: Models, Theory and Algorithms

Zhaosong Lu(zhaosong***at***sfu.ca)
Xiaorui Li(xla97***at***sfu.ca)

Abstract: In the context of sparse recovery, it is known that most of existing regularizers such as $\ell_1$ suffer from some bias incurred by some leading entries (in magnitude) of the associated vector. To neutralize this bias, we propose a class of models with partial regularizers for recovering a sparse solution of a linear system. We show that every local minimizer of these models is sufficiently sparse or the magnitude of all its nonzero entries is above a uniform constant depending only on the data of the linear system. Moreover, for a class of partial regularizers, any global minimizer of these models is a sparsest solution to the linear system. We also establish some sufficient conditions for local or global recovery of the sparsest solution to the linear system, among which one of the conditions is weaker than the best known restricted isometry property (RIP) condition for sparse recovery by $\ell_1$. In addition, a first-order feasible augmented Lagrangian (FAL) method is proposed for solving these models, in which each subproblem is solved by a nonmonotone proximal gradient (NPG) method. Despite the complication of the partial regularizers, we show that each proximal subproblem in NPG can be solved as a certain number of one-dimensional optimization problems, which usually have a closed-form solution. We also show that any accumulation point of the sequence generated by FAL is a first-order stationary point of the models. Numerical results on compressed sensing and sparse logistic regression demonstrate that the proposed models substantially outperform the widely used ones in the literature in terms of solution quality.

Keywords: sparse recovery, partial regularization, null space property, restricted isometry property, proximal gradient method, augmented Lagrangian method, compressed sensing, sparse logistic regression

Category 1: Nonlinear Optimization

Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Category 3: Applications -- Science and Engineering (Statistics )

Citation: Preprint, Department of Mathematics, Simon Fraser University, Canada

Download: [PDF]

Entry Submitted: 11/23/2015
Entry Accepted: 11/23/2015
Entry Last Modified: 11/23/2015

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