Augmented L1 and Nuclear-Norm Models with a Globally Linearly Convergent Algorithm (1201.4615v3)

Abstract: This paper studies the long-existing idea of adding a nice smooth function to "smooth" a non-differentiable objective function in the context of sparse optimization, in particular, the minimization of $||x||1+1/(2\alpha)||x||_2^2$, where $x$ is a vector, as well as the minimization of $||X||+1/(2\alpha)||X||F^2$, where $X$ is a matrix and $||X||$ and $||X||F$ are the nuclear and Frobenius norms of $X$, respectively. We show that they can efficiently recover sparse vectors and low-rank matrices. In particular, they enjoy exact and stable recovery guarantees similar to those known for minimizing $||x||_1$ and $||X||$ under the conditions on the sensing operator such as its null-space property, restricted isometry property, spherical section property, or RIPless property. To recover a (nearly) sparse vector $x^0$, minimizing $||x||1+1/(2\alpha)||x||_2^2$ returns (nearly) the same solution as minimizing $||x||_1$ almost whenever $\alpha\ge 10||x^0||\infty$. The same relation also holds between minimizing $||X||_+1/(2\alpha)||X||F^2$ and minimizing $||X||*$ for recovering a (nearly) low-rank matrix $X^0$, if $\alpha\ge 10||X^0||_2$. Furthermore, we show that the linearized Bregman algorithm for minimizing $||x||_1+1/(2\alpha)||x||_2^2$ subject to $Ax=b$ enjoys global linear convergence as long as a nonzero solution exists, and we give an explicit rate of convergence. The convergence property does not require a solution solution or any properties on $A$. To our knowledge, this is the best known global convergence result for first-order sparse optimization algorithms.