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Proceedings Paper

Dantzig selector homotopy with dynamic measurements
Author(s): M. Salman Asif; Justin Romberg
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Paper Abstract

The Dantzig selector is a near ideal estimator for recovery of sparse signals from linear measurements in the presence of noise. It is a convex optimization problem which can be recast into a linear program (LP) for real data, and solved using some LP solver. In this paper we present an alternative approach to solve the Dantzig selector which we call "Primal Dual pursuit" or "PD pursuit". It is a homotopy continuation based algorithm, which iteratively computes the solution of Dantzig selector for a series of relaxed problems. At each step the previous solution is updated using the optimality conditions defined by the Dantzig selector. We will also discuss an extension of PD pursuit which can quickly update the solution for Dantzig selector when new measurements are added to the system. We will present the derivation and working details of these algorithms.

Paper Details

Date Published: 2 February 2009
PDF: 11 pages
Proc. SPIE 7246, Computational Imaging VII, 72460E (2 February 2009); doi: 10.1117/12.813436
Show Author Affiliations
M. Salman Asif, Georgia Institute of Technology (United States)
Justin Romberg, Georgia Institute of Technology (United States)

Published in SPIE Proceedings Vol. 7246:
Computational Imaging VII
Charles A. Bouman; Eric L. Miller; Ilya Pollak, Editor(s)

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