Active-set methods for basis pursuit

TitleActive-set methods for basis pursuit
Publication TypeConference
Year of Publication2008
AuthorsMichael P. Friedlander, M. A. Saunders
Conference NameWCOM
PublisherWest Coast Opitmization Meeting (WCOM)

Many imaging and compressed sensing applications seek sparse solutions to large under-determined least-squares problems. The basis pursuit (BP) approach minimizes the 1-norm of the solution, and the BP denoising (BPDN) approach balances it against the least-squares fit. The duals of these problems are conventional linear and quadratic programs. We introduce a modified parameterization of the BPDN problem and explore the effectiveness of active-set methods for solving its dual. Our basic algorithm for the BP dual unifies several existing algorithms and is applicable to large-scale examples.

URL mpf/public/mpf08siopt.pdf
Citation Keyfriedlander2008WCOMasm