Compressed Sensing Recovery via Nonconvex Shrinkage Penalties

Hat tip to Thomas Arildsen for pointing out this preprint:

Compressed Sensing Recovery via Nonconvex Shrinkage Penalties by Joseph Woodworth, Rick Chartrand

The ℓ0 minimization of compressed sensing is often relaxed to ℓ1, which yields easy computation using the shrinkage mapping known as soft thresholding, and can be shown to recover the original solution under certain hypotheses. Recent work has derived a general class of shrinkages and associated nonconvex penalties that better approximate the original ℓ0 penalty and empirically can recover the original solution from fewer measurements. We specifically examine p-shrinkage and firm thresholding. In this work, we prove that given data and a measurement matrix from a broad class of matrices, one can choose parameters for these classes of shrinkages to guarantee exact recovery of the sparsest solution. We further prove convergence of the algorithm iterative p-shrinkage (IPS) for solving one such relaxed problem.

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