Sparse Approximation via Penalty Decomposition Methods

Abstract

In this paper we consider sparse approximation problems, that is, general $l_0$ minimization problems with the $l_0$-``norm” of a vector being a part of constraints or objective function. In particular, we first study the first-order optimality conditions for these problems. We then propose penalty decomposition (PD) methods for solving them in which a sequence of penalty subproblems are solved by a block coordinate descent (BCD) method. Under some suitable assumptions, we establish that any accumulation point of the sequence generated by the PD methods satisfies the first-order optimality conditions of the problems. Furthermore, for the problems in which the $l_0$ part is the only nonconvex part, we show that such an accumulation point is a local minimizer of the problems. In addition, we show that any accumulation point of the sequence generated by the BCD method is a block coordinate minimizer of the penalty subproblem. Moreover, for the problems in which the $l_0$ part is the only nonconvex part, we e...