Putting the curvature back into sparse solvers

For many problems in signal and image processing, we seek a sparse solution that solves that approximately solves the problem Ax $\approx$ b, where A is an m-by-n matrix and b is an m-vector. Many of the most used approaches to problem thissuch as iterative soft thresholding SPGL1 andare first-order methods. As a result, these methods can sometimes be slow to converge. In this talk, we present an approach that takes advantage of the easily-obtainable second-order information. By exploiting this available second-order information, we are able to put the curvature back into sparse solvers and improve upon the convergence rates of existing solvers.