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Coordinate descent optimization for l1 minimization with application to compressed sensing; a greedy algorithm

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  • We propose a fast algorithm for solving the Basis Pursuit problem, minu $\{|u|_1\: \Au=f\}$, which has application to compressed sensing. We design an efficient method for solving the related unconstrained problem minu $E(u) = |u|_1 + \lambda \||Au-f\||^2_2$ based on a greedy coordinate descent method. We claim that in combination with a Bregman iterative method, our algorithm will achieve a solution with speed and accuracy competitive with some of the leading methods for the basis pursuit problem.
    Mathematics Subject Classification: Primary: 90C25; Secondary: 65K05.

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