In pursuit of a root
E. van den Berg, M. P. Friedlander. Technical Report TR-2007-19, Department of Computer Science, University of British Columbia,
2007.
[abs]
[bib]
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.
@article{Berg2007Pursuit,
Author = {E. van den Berg and M. P. Friedlander},
Year = {2007},
Month = {June},
Title = {In pursuit of a root}
}