A regularized eigenmatrix method for unstructured sparse recovery

Abstract: The recently developed data-driven eigenmatrix method shows very promising reconstruction accuracy in sparse recovery for a wide range of kernel functions and random sample locations. However, its current implementation can lead to numerical instability if the threshold tolerance is not appropriately chosen. To incorporate regularization techniques, we propose to regularize the eigenmatrix method by replacing the computation of an ill-conditioned pseudo-inverse by the solution of an ill-conditioned least square system, which can be efficiently treated by Tikhonov regularization. Extensive numerical examples confirmed the improved effectiveness of our proposed method, especially when the noise levels are relatively high.