Homotopy based algorithms for $\ell_0$-regularized least-squares

no code implementations • 31 Jan 2014 • Charles Soussen, Jérôme Idier, Junbo Duan, David Brie

Among the many efficient $\ell_1$ solvers, the homotopy algorithm minimizes $\|y-Ax\|_2^2+\lambda\|x\|_1$ with respect to x for a continuum of $\lambda$'s.