A fast algorithm for nonconvex approaches to sparse recovery problems

This paper addresses the problem of sparse signal recovery from a lower number of measurements than those requested by the classical compressed sensing theory. This problem is formalized as a constrained minimization problem, where the objective function is nonconvex and singular at the origin. Several algorithms have been recently proposed, which rely on iterative reweighting schemes, that produce better estimates at each new minimization step. Two such methods are iterative reweighted l2 and l1 minimization that have been shown to be effective and general, but very computationally demanding. The main contribution of this paper is the proposal of the algorithm WNFCS, where the reweighted schemes represent the core of a penalized approach to the solution of the constrained nonconvex minimization problem. The algorithm is fast, and succeeds in exactly recovering a sparse signal from a smaller number of measurements than the l1 minimization and in a shorter time. WNFCS is very general, since it represents an algorithmic framework that can easily be adapted to different reweighting strategies and nonconvex objective functions. Several numerical experiments and comparisons with some of the most recent nonconvex minimization algorithms confirm the capabilities of the proposed algorithm.

► An iterative algorithm is proposed to solve a constrained nonconvex minimization problem.
► It integrates a reweighted scheme in a penalization approach.
► It is much less computationally demanding than the classical reweighted approaches.
► A proof of its convergence properties is given.