Group Sparse Recovery via the $\ell^0(\ell^2)$ Penalty: Theory and Algorithm (1601.04174v2)

Abstract: In this work we propose and analyze a novel approach for group sparse recovery. It is based on regularized least squares with an $\ell^0(\ell^2)$ penalty, which penalizes the number of nonzero groups. One distinct feature of the approach is that it has the built-in decorrelation mechanism within each group, and thus can handle challenging strong inner-group correlation. We provide a complete analysis of the regularized model, e.g., existence of a global minimizer, invariance property, support recovery, and properties of block coordinatewise minimizers. Further, the regularized problem admits an efficient primal dual active set algorithm with a provable finite-step global convergence. At each iteration, it involves solving a least-squares problem on the active set only, and exhibits a fast local convergence, which makes the method extremely efficient for recovering group sparse signals. Extensive numerical experiments are presented to illustrate salient features of the model and the efficiency and accuracy of the algorithm. A comparative study indicates its competitiveness with existing approaches.