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NESTA: A fast and accurate first-order method for sparse recovery. (English) Zbl 1209.90265
Summary: Accurate signal recovery or image reconstruction from indirect and possibly undersampled data is a topic of considerable interest; for example, the literature in the recent field of compressed sensing is already quite immense. This paper applies a smoothing technique and an accelerated first-order algorithm, both from Yu. Nesterov [Math. Program. 103, No. 1 (A), 127–152 (2005; Zbl 1079.90102)], and demonstrates that this approach is ideally suited for solving large-scale compressed sensing reconstruction problems as (1) it is computationally efficient; (2) it is accurate and returns solutions with several correct digits; (3) it is flexible and amenable to many kinds of reconstruction problems; and (4) it is robust in the sense that its excellent performance across a wide range of problems does not depend on the fine tuning of several parameters. Comprehensive numerical experiments on realistic signals exhibiting a large dynamic range show that this algorithm compares favorably with recently proposed state-of-the-art methods. We also apply the algorithm to solve other problems for which there are fewer alternatives, such as total-variation minimization and convex programs seeking to minimize the 1 norm of W x under constraints, in which W is not diagonal. The code is available online as a free package in the Matlab language.
MSC:
90C06Large-scale problems (mathematical programming)
90C25Convex programming
94A08Image processing (compression, reconstruction, etc.)
Software:
glmnet; PDCO; Matlab; NESTA