A proximal-gradient homotopy method for the sparse least-squares problem

Lin Xiao, Tong Zhang

Research output: Contribution to journalArticlepeer-review

72 Scopus citations

Abstract

We consider solving the ℓ1-regularized least-squares (ℓ1-LS) problem in the context of sparse recovery for applications such as compressed sensing. The standard proximal gradient method, also known as iterative soft-thresholding when applied to this problem, has low computational cost per iteration but a rather slow convergence rate. Nevertheless, when the solution is sparse, it often exhibits fast linear convergence in the final stage. We exploit the local linear convergence using a homotopy continuation strategy, i.e., we solve the ℓ1-LS problem for a sequence of decreasing values of the regularization parameter, and use an approximate solution at the end of each stage to warm start the next stage. Although similar strategies have been studied in the literature, there have been no theoretical analysis of their global iteration complexity. This paper shows that under suitable assumptions for sparse recovery, the proposed homotopy strategy ensures that all iterates along the homotopy solution path are sparse. Therefore the objective function is effectively strongly convex along the solution path, and geometric convergence at each stage can be established. As a result, the overall iteration complexity of our method is O(log(1/∈)) for finding an ∈-optimal solution, which can be interpreted as global geometric rate of convergence. We also present empirical results to support our theoretical analysis.

Original languageEnglish
Pages (from-to)1062-1091
Number of pages30
JournalSIAM Journal on Optimization
Volume23
Issue number2
DOIs
StatePublished - 2013
Externally publishedYes

Keywords

  • Homotopy continuation
  • Proximal gradient method
  • Sparse optimization

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