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An Interior-Point Method for Large-Scale -Regularized Least Squares

Kim, Seung-Jean, Koh, K., Lustig, M., Boyd, Stephen, Gorinevsky, Dimitry·2007·IEEE Journal of Selected Topics in Signal Processing

Abstract

Recently, a lot of attention has been paid to regularization based methods for sparse signal reconstruction (e.g., basis pursuit denoising and compressed sensing) and feature selection (e.g., the Lasso algorithm) in signal processing, statistics, and related fields. These problems can be cast as -regularized least-squares programs (LSPs), which can be reformulated as convex quadratic programs, and then solved by several standard methods such as interior-point methods, at least for small and medium size problems. In this paper, we describe a specialized interior-point method for solving large-scale -regularized LSPs that uses the preconditioned conjugate gradients algorithm to compute the search direction. The interior-point method can solve large sparse problems, with a million variables and observations, in a few tens of minutes on a PC. It can efficiently solve large dense problems, that arise in sparse signal recovery with orthogonal transforms, by exploiting fast algorithms for these transforms. The method is illustrated on a magnetic resonance imaging data set.

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Crossref · 10.1109/jstsp.2007.910971

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Metadata

Authors
Kim, S.-J., Koh, K., Lustig, M., Boyd, S., & Gorinevsky, D.
Venue
IEEE Journal of Selected Topics in Signal Processing
Published
2007-12
Volume
1
Issue
4
Pages
606-617
ISSN
  • 1932-4553 (ISSN-L)
  • 1941-0484
OpenAlex
W3022380717
Cited by
2,083
References
4
FWCI
82.25
Type
journal article
Language
en
Open access
closed

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