Successive Convex Approximation Algorithms for Sparse Signal Estimation with Nonconvex Regularizations

TL;DR

This paper introduces a flexible and convergent successive convex approximation framework for sparse signal estimation with nonconvex regularizations, enabling efficient algorithms with guaranteed stationary point convergence.

Contribution

It develops a novel framework combining majorization-minimization and successive convex approximation for nonconvex sparse optimization problems.

Findings

The framework guarantees convergence to a stationary point.

It enables fast, low-complexity algorithms with line search.

Applications include network anomaly detection and subspace clustering.

Abstract

In this paper, we propose a successive convex approximation framework for sparse optimization where the nonsmooth regularization function in the objective function is nonconvex and it can be written as the difference of two convex functions. The proposed framework is based on a nontrivial combination of the majorization-minimization framework and the successive convex approximation framework proposed in literature for a convex regularization function. The proposed framework has several attractive features, namely, i) flexibility, as different choices of the approximate function lead to different type of algorithms; ii) fast convergence, as the problem structure can be better exploited by a proper choice of the approximate function and the stepsize is calculated by the line search; iii) low complexity, as the approximate function is convex and the line search scheme is carried out over a differentiable function; iv) guaranteed convergence to a stationary point. We demonstrate these features by two example applications in subspace learning, namely, the network anomaly detection problem and the sparse subspace clustering problem. Customizing the proposed framework by adopting the best-response type approximation, we obtain soft-thresholding with exact line search algorithms for which all elements of the unknown parameter are updated in parallel according to closed-form expressions. The attractive features of the proposed algorithms are illustrated numerically.