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370
A fast iterative shrinkagethresholding algorithm with application to . . .
, 2009
"... We consider the class of Iterative ShrinkageThresholding Algorithms (ISTA) for solving linear inverse problems arising in signal/image processing. This class of methods is attractive due to its simplicity, however, they are also known to converge quite slowly. In this paper we present a Fast Iterat ..."
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Cited by 1055 (8 self)
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We consider the class of Iterative ShrinkageThresholding Algorithms (ISTA) for solving linear inverse problems arising in signal/image processing. This class of methods is attractive due to its simplicity, however, they are also known to converge quite slowly. In this paper we present a Fast Iterative ShrinkageThresholding Algorithm (FISTA) which preserves the computational simplicity of ISTA, but with a global rate of convergence which is proven to be significantly better, both theoretically and practically. Initial promising numerical results for waveletbased image deblurring demonstrate the capabilities of FISTA.
A Singular Value Thresholding Algorithm for Matrix Completion
, 2008
"... This paper introduces a novel algorithm to approximate the matrix with minimum nuclear norm among all matrices obeying a set of convex constraints. This problem may be understood as the convex relaxation of a rank minimization problem, and arises in many important applications as in the task of reco ..."
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Cited by 539 (20 self)
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This paper introduces a novel algorithm to approximate the matrix with minimum nuclear norm among all matrices obeying a set of convex constraints. This problem may be understood as the convex relaxation of a rank minimization problem, and arises in many important applications as in the task of recovering a large matrix from a small subset of its entries (the famous Netflix problem). Offtheshelf algorithms such as interior point methods are not directly amenable to large problems of this kind with over a million unknown entries. This paper develops a simple firstorder and easytoimplement algorithm that is extremely efficient at addressing problems in which the optimal solution has low rank. The algorithm is iterative and produces a sequence of matrices {X k, Y k} and at each step, mainly performs a softthresholding operation on the singular values of the matrix Y k. There are two remarkable features making this attractive for lowrank matrix completion problems. The first is that the softthresholding operation is applied to a sparse matrix; the second is that the rank of the iterates {X k} is empirically nondecreasing. Both these facts allow the algorithm to make use of very minimal storage space and keep the computational cost of each iteration low. On
An accelerated proximal gradient algorithm for nuclear norm regularized least squares problems
, 2009
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The Convex Geometry of Linear Inverse Problems
, 2010
"... In applications throughout science and engineering one is often faced with the challenge of solving an illposed inverse problem, where the number of available measurements is smaller than the dimension of the model to be estimated. However in many practical situations of interest, models are constr ..."
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Cited by 181 (18 self)
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In applications throughout science and engineering one is often faced with the challenge of solving an illposed inverse problem, where the number of available measurements is smaller than the dimension of the model to be estimated. However in many practical situations of interest, models are constrained structurally so that they only have a few degrees of freedom relative to their ambient dimension. This paper provides a general framework to convert notions of simplicity into convex penalty functions, resulting in convex optimization solutions to linear, underdetermined inverse problems. The class of simple models considered are those formed as the sum of a few atoms from some (possibly infinite) elementary atomic set; examples include wellstudied cases such as sparse vectors (e.g., signal processing, statistics) and lowrank matrices (e.g., control, statistics), as well as several others including sums of a few permutations matrices (e.g., ranked elections, multiobject tracking), lowrank tensors (e.g., computer vision, neuroscience), orthogonal matrices (e.g., machine learning), and atomic measures (e.g., system identification). The convex programming formulation is based on minimizing the norm induced by the convex hull of the atomic set; this norm is referred to as the atomic norm. The facial
NESTA: A Fast and Accurate FirstOrder Method for Sparse Recovery
, 2009
"... 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. Inspired by recent breakthroughs in the development of novel firstorder ..."
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Cited by 177 (2 self)
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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. Inspired by recent breakthroughs in the development of novel firstorder methods in convex optimization, most notably Nesterov’s smoothing technique, this paper introduces a fast and accurate algorithm for solving common recovery problems in signal processing. In the spirit of Nesterov’s work, one of the key ideas of this algorithm is a subtle averaging of sequences of iterates, which has been shown to improve the convergence properties of standard gradientdescent algorithms. This paper demonstrates that this approach is ideally suited for solving largescale 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 stateoftheart methods. We also apply the algorithm to solve other problems for which there are fewer alternatives, such as totalvariation minimization, and
Message passing algorithms for compressed sensing: I. motivation and construction
 Proc. ITW
, 2010
"... Abstract—In a recent paper, the authors proposed a new class of lowcomplexity iterative thresholding algorithms for reconstructing sparse signals from a small set of linear measurements [1]. The new algorithms are broadly referred to as AMP, for approximate message passing. This is the second of tw ..."
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Cited by 170 (19 self)
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Abstract—In a recent paper, the authors proposed a new class of lowcomplexity iterative thresholding algorithms for reconstructing sparse signals from a small set of linear measurements [1]. The new algorithms are broadly referred to as AMP, for approximate message passing. This is the second of two conference papers describing the derivation of these algorithms, connection with related literature, extensions of original framework, and new empirical evidence. This paper describes the state evolution formalism for analyzing these algorithms, and some of the conclusions that can be drawn from this formalism. We carried out extensive numerical simulations to confirm these predictions. We present here a few representative results. I. GENERAL AMP AND STATE EVOLUTION We consider the model
Computational methods for sparse solution of linear inverse problems
, 2009
"... The goal of sparse approximation problems is to represent a target signal approximately as a linear combination of a few elementary signals drawn from a fixed collection. This paper surveys the major practical algorithms for sparse approximation. Specific attention is paid to computational issues, ..."
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Cited by 164 (0 self)
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The goal of sparse approximation problems is to represent a target signal approximately as a linear combination of a few elementary signals drawn from a fixed collection. This paper surveys the major practical algorithms for sparse approximation. Specific attention is paid to computational issues, to the circumstances in which individual methods tend to perform well, and to the theoretical guarantees available. Many fundamental questions in electrical engineering, statistics, and applied mathematics can be posed as sparse approximation problems, making these algorithms versatile and relevant to a wealth of applications.
Efficient Online and Batch Learning using Forward Backward Splitting
"... We describe, analyze, and experiment with a framework for empirical loss minimization with regularization. Our algorithmic framework alternates between two phases. On each iteration we first perform an unconstrained gradient descent step. We then cast and solve an instantaneous optimization problem ..."
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Cited by 134 (1 self)
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We describe, analyze, and experiment with a framework for empirical loss minimization with regularization. Our algorithmic framework alternates between two phases. On each iteration we first perform an unconstrained gradient descent step. We then cast and solve an instantaneous optimization problem that trades off minimization of a regularization term while keeping close proximity to the result of the first phase. This view yields a simple yet effective algorithm that can be used for batch penalized risk minimization and online learning. Furthermore, the two phase approach enables sparse solutions when used in conjunction with regularization functions that promote sparsity, such as ℓ1. We derive concrete and very simple algorithms for minimization of loss functions with ℓ1, ℓ2, ℓ 2 2, and ℓ ∞ regularization. We also show how to construct efficient algorithms for mixednorm ℓ1/ℓq regularization. We further extend the algorithms and give efficient implementations for very highdimensional data with sparsity. We demonstrate the potential of the proposed framework in a series of experiments with synthetic and natural datasets.
Dual averaging methods for regularized stochastic learning and online optimization
 In Advances in Neural Information Processing Systems 23
, 2009
"... We consider regularized stochastic learning and online optimization problems, where the objective function is the sum of two convex terms: one is the loss function of the learning task, and the other is a simple regularization term such as ℓ1norm for promoting sparsity. We develop extensions of Nes ..."
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Cited by 131 (7 self)
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We consider regularized stochastic learning and online optimization problems, where the objective function is the sum of two convex terms: one is the loss function of the learning task, and the other is a simple regularization term such as ℓ1norm for promoting sparsity. We develop extensions of Nesterov’s dual averaging method, that can exploit the regularization structure in an online setting. At each iteration of these methods, the learning variables are adjusted by solving a simple minimization problem that involves the running average of all past subgradients of the loss function and the whole regularization term, not just its subgradient. In the case of ℓ1regularization, our method is particularly effective in obtaining sparse solutions. We show that these methods achieve the optimal convergence rates or regret bounds that are standard in the literature on stochastic and online convex optimization. For stochastic learning problems in which the loss functions have Lipschitz continuous gradients, we also present an accelerated version of the dual averaging method.
Fast image recovery using variable splitting and constrained optimization
 IEEE Trans. Image Process
, 2010
"... Abstract—We propose a new fast algorithm for solving one of the standard formulations of image restoration and reconstruction which consists of an unconstrained optimization problem where the objective includes an `2 datafidelity term and a nonsmooth regularizer. This formulation allows both wavele ..."
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Cited by 125 (9 self)
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Abstract—We propose a new fast algorithm for solving one of the standard formulations of image restoration and reconstruction which consists of an unconstrained optimization problem where the objective includes an `2 datafidelity term and a nonsmooth regularizer. This formulation allows both waveletbased (with orthogonal or framebased representations) regularization or totalvariation regularization. Our approach is based on a variable splitting to obtain an equivalent constrained optimization formulation, which is then addressed with an augmented Lagrangian method. The proposed algorithm is an instance of the socalled alternating direction method of multipliers, for which convergence has been proved. Experiments on a set of image restoration and reconstruction benchmark problems show that the proposed algorithm is faster than the current state of the art methods. Index Terms—Augmented Lagrangian, compressive sensing, convex optimization, image reconstruction, image restoration,