Thursday, December 19, 2013

Optimization for Compressed Sensing: the Simplex Method and Kronecker Sparsification - implementation -

Optimization for Compressed Sensing: the Simplex Method and Kronecker Sparsification by Robert Vanderbei, Han Liu, Lie Wang, Kevin Lin
In this paper we present two new approaches to efficiently solve large-scale compressed sensing problems. These two ideas are independent of each other and can therefore be used either separately or together. We consider all possibilities.
For the first approach, we note that the zero vector can be taken as the initial basic (infeasible) solution for the linear programming problem and therefore, if the true signal is very sparse, some variants of the simplex method can be expected to take only a small number of pivots to arrive at a solution. We implemented one such variant and demonstrate a dramatic improvement in computation time on very sparse signals.
The second approach requires a redesigned sensing mechanism in which the vector signal is stacked into a matrix. This allows us to exploit the Kronecker compressed sensing (KCS) mechanism. We show that the Kronecker sensing requires stronger conditions for perfect recovery compared to the original vector problem. However, the Kronecker sensing, modeled correctly, is a much sparser linear optimization problem. Hence, algorithms that benefit from sparse problem representation, such as interior-point methods, can solve the Kronecker sensing problems much faster than the corresponding vector problem. In our numerical studies, we demonstrate a ten-fold improvement in the computation time.
The implementation is available here:


Anonymous said...

It would be nice to see a comparison to modern methods based on approximate message passing.

Igor said...

dear Anonymous,

You're being greedy!