A Preconditioned Conjugate Gradient Method with Active Set Strategy for \(\ell _1\)-Regularized Least Squares

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Abstract

In the paper, we consider the \(\ell _1\)-regularized least square problem which has been intensively involved in the fields of signal processing, compressive sensing, linear inverse problems and statistical inference. The considered problem has been proved recently to be equivalent to a nonnegatively constrained quadratic programming (QP). In this paper, we use a recently developed active conjugate gradient method to solve the resulting QP problem. To improve the algorithm’s performance, we design a subspace exact steplength as well as a precondition technique. The performance comparisons illustrate that the proposed algorithm is competitive and even performs little better than several state-of-the-art algorithms.

Keywords

Compressed sensing \(\ell _1\)-Regularized optimization Conjugate gradient method Precondition 

Mathematics Subject Classification

90C06 90C25 65Y20 94A08 

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Copyright information

© Operations Research Society of China, Periodicals Agency of Shanghai University, Science Press, and Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.College of ComputerDongguan University of TechnologyDongguanChina
  2. 2.School of Mathematical SciencesSouth China Normal UniversityGuangzhouChina

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