[学习]L1 Homotopy for L1 norm minimization

L1 Homotopy: A MATLAB Toolbox for Homotopy Algorithms in L1 Norm Minimization Problems

  Introduction:

 

This package is a collection of MATLAB routines for solving some L1 norm minimization problems using homotopy techniques. These problems are usually encountered in the recovery of sparse signals from linear incoherent measurements.

 

This package contains scripts for solving the following optimization problems:

 

·        Basis pursuit denoising (BPDN) / LASSO

·        Dantzig selector

·        L1 decoding, robust L1 decoding

·        Re-weighted L1-norm (iterative and adaptive reweighting)

 

In addition to solving these problems for any given set of parameters, we have some dynamic algorithms to update their solution when

 

·        Streaming signal recovery

·        New measurements are sequentially added to the system

·        The unknown signal varies over time and we get a new measurement vector

 

Download:

 

Homotopy package

·        Version 2.0 (zip) released June 2013

o   A single, versatile homotopy program that can solve a variety of dynamic updating problems.

o   We consider the following linear model of observations:

where  is a sparse vector of interest,  is the system matrix,  is the measurement vector, and