Improved iterative shrinkage-thresholding for sparse signal recovery via Laplace mixtures models.

In this paper, we propose a new method for support detection and estimation of sparse and approximately sparse signals from compressed measurements. Using a double Laplace mixture model as the parametric representation of the signal coefficients, the problem is formulated as a weighted ℓ 1 minimization. Then, we introduce a new family of iterative shrinkage-thresholding algorithms based on double Laplace mixture models. They preserve the computational simplicity of classical ones and improve iterative estimation by incorporating soft support detection. In particular, at each iteration, by learning the components that are likely to be nonzero from the current MAP signal estimate, the shrinkage-thresholding step is adaptively tuned and optimized. Unlike other adaptive methods, we are able to prove, under suitable conditions, the convergence of the proposed methods to a local minimum of the weighted ℓ 1 minimization. Moreover, we also provide an upper bound on the reconstruction error. Finally, we show through numerical experiments that the proposed methods outperform classical shrinkage-thresholding in terms of rate of convergence, accuracy, and of sparsity-undersampling trade-off.