a primal dual active set with continuation algorithm for the -regularized optimization problem：正则化优化问题的一个原始对偶的连续算法.pdfVIP

Appl. Comput. Harmon. Anal. 39 (2015) 400–426 Contents lists available at ScienceDirect Applied and Computational Harmonic Analysis /locate/acha A primal dual active set with continuation algorithm 0 for the -regularized optimization problem Yuling Jiao a,b , Bangti Jin c , Xiliang Lu b,∗ a School of Statistics and Mathematics, Zhongnan University of Economics and Law, Wuhan 430063, PR China b School of Mathematics and Statistics, Wuhan University, Wuhan 430072, PR China c Department of Computer Science, University College London, Gower Street, London, WC1E 6BT, UK a r t i c l e i n f o a b s t r a c t Article history: We develop a primal dual active set with continuation algorithm for solving the Received 3 March 2014 0 -regularized least-squares problem that frequently arises in compressed sensing. Received in revised form The algorithm couples the primal dual active set method with a continuation 3 September 2014 strategy on the regularization parameter. At each inner iteration, it first identifies Accepted 8 October 2014 Available online 16 October 2014 the active set from both primal and dual variables, and then updates the primal Communicated by Charles K. Chui variable by solving a (typically small) least-squares problem defined on the active set, from which the dual variable can be updated explicitly. Under certai