Proximal-Gradient Homotopy Method for Sparse Least Squares

Proximal-gradient homotopy is an efficient numerical method for solving the L1-regularized least-squares problem—minimize_x (1/2) ||A*x-b||_2^2 + lambda*||x||_1—where A is an m-by-n matrix, and lambda is a positive regularization parameter. This method is especially effective for sparse recovery applications in which the dimensions satisfies m < n and the optimal solution x* is provably sparse. The implementation in MATLAB can solve the more general problem—minimize_x f(x) + lambda*R(x)—where f(x) is a differentiable convex function and R(x) is a simple convex function whose proximal mapping can be computed efficiently.