TY - JOUR

T1 - Relaxed regularization for linear inverse problems

AU - Luiken, Nick

AU - Van Leeuwen, Tristan

N1 - Generated from Scopus record by KAUST IRTS on 2023-10-22

PY - 2020/1/1

Y1 - 2020/1/1

N2 - We consider regularized least-squares problems of the form min {equation presented}. Recently, Zheng et al. [IEEE Access, 7 (2019), pp. 1404-1423], proposed an algorithm called Sparse Relaxed Regularized Regression (SR3) that employs a splitting strategy by introducing an auxiliary variable y and solves min {equation presented}. By minimizing out the variable x, we obtain an equivalent optimization problem min {equation presented}. In our work, we view the SR3 method as a way to approximately solve the regularized problem. We analyze the conditioning of the relaxed problem in general and give an expression for the SVD of Fκ as a function of κ. Furthermore, we relate the Pareto curve of the original problem to the relaxed problem, and we quantify the error incurred by relaxation in terms of κ. Finally, we propose an efficient iterative method for solving the relaxed problem with inexact inner iterations. Numerical examples illustrate the approach.

AB - We consider regularized least-squares problems of the form min {equation presented}. Recently, Zheng et al. [IEEE Access, 7 (2019), pp. 1404-1423], proposed an algorithm called Sparse Relaxed Regularized Regression (SR3) that employs a splitting strategy by introducing an auxiliary variable y and solves min {equation presented}. By minimizing out the variable x, we obtain an equivalent optimization problem min {equation presented}. In our work, we view the SR3 method as a way to approximately solve the regularized problem. We analyze the conditioning of the relaxed problem in general and give an expression for the SVD of Fκ as a function of κ. Furthermore, we relate the Pareto curve of the original problem to the relaxed problem, and we quantify the error incurred by relaxation in terms of κ. Finally, we propose an efficient iterative method for solving the relaxed problem with inexact inner iterations. Numerical examples illustrate the approach.

UR - https://epubs.siam.org/doi/10.1137/20M1348091

UR - http://www.scopus.com/inward/record.url?scp=85113300201&partnerID=8YFLogxK

U2 - 10.1137/20M1348091

DO - 10.1137/20M1348091

M3 - Article

SN - 1095-7197

SP - S269-S292

JO - SIAM Journal on Scientific Computing

JF - SIAM Journal on Scientific Computing

ER -