In pursuit of a root

TitleIn pursuit of a root
Publication TypeTech Report
Year of Publication2007
AuthorsEwout van den Berg, Michael P. Friedlander
NumberTR-EOAS-2007-19
PublisherDepartment of Computer Science
Abstract

The basis pursuit technique is used to find a minimum one-norm solution of an underdetermined least-squares problem. Basis pursuit denoise fits the least-squares problem only approximately, and a single parameter determines a curve that traces the trade-off between the least-squares fit and the one-norm of the solution. We show that the function that describes this curve is convex and continuously differentiable over all points of interest. The dual solution of a least-squares problem with an explicit one-norm constraint gives function and derivative information needed for a root-finding method. As a result, we can compute arbitrary points on this curve. Numerical experiments demonstrate that our method, which relies on only matrix-vector operations, scales well to large problems.

URLhttp://www.optimization-online.org/DB_HTML/2007/06/1708.html
Citation Keyvandenberg07TRipr