, Volume 18, Issue 3-4, pp 373-404
Date: 02 Sep 2010

Dualization of Signal Recovery Problems

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In convex optimization, duality theory can sometimes lead to simpler solution methods than those resulting from direct primal analysis. In this paper, this principle is applied to a class of composite variational problems arising in particular in signal recovery. These problems are not easily amenable to solution by current methods but they feature Fenchel–Moreau–Rockafellar dual problems that can be solved by forward-backward splitting. The proposed algorithm produces simultaneously a sequence converging weakly to a dual solution, and a sequence converging strongly to the primal solution. Our framework is shown to capture and extend several existing duality-based signal recovery methods and to be applicable to a variety of new problems beyond their scope.

The work of P. L. Combettes was supported the Agence Nationale de la Recherche under grant ANR-08-BLAN-0294-02. The work of Đ. Dũng and B. C. Vũ was supported by the Vietnam National Foundation for Science and Technology Development.