Nonconvex Sorted l1 Minimization for Sparse Approximation

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Online published: 2015-06-30

Abstract

The  l1 norm is the tight convex relaxation for the 0 norm and has been successfully applied for recovering sparse signals. However, for problems with fewer samples than required for accurate l1  recovery, one needs to apply nonconvex penalties such as p norm. As one method for solving p minimization problems, iteratively reweighted l1  minimization updates the weight for each component based on the value of the same component at the previous iteration. It assigns large weights on small components in magnitude and small weights on large components in magnitude. The set of the weights is not fixed, and it makes the analysis of this method difficult. In this paper, we consider a weighted 1 penalty with the set of the weights fixed, and the weights are assigned based on the sort of all the components in magnitude. The smallest weight is assigned to the largest component in magnitude. This new penalty is called nonconvex sorted l1 . Then we propose two methods for solving nonconvex sorted 1 l1 minimization problems: iteratively reweighted l1  minimization and iterative sorted thresholding, and prove that both methods will converge to a local minimizer of the nonconvex sorted l1  minimization problems.We also show that both methods are generalizations of iterative support detection and iterative hard thresholding, respectively. The numerical experiments demonstrate the better performance of assigning weights by sort compared to assigning by value.

Cite this article

Xiao-Lin Huang · Lei Shi · Ming Yan . Nonconvex Sorted l1 Minimization for Sparse Approximation[J]. Journal of the Operations Research Society of China, 2015 , 3(2) : 207 . DOI: 10.1007/s40305-014-0069-4

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