Projected Nesterov's Proximal-Gradient Algorithm for Sparse Signal Recovery

We develop a projected Nesterov’s proximal-gradient (PNPG) approach for sparse signal reconstruction that combines adaptive step size with Nesterov’s momentum acceleration. The objective function that we wish to minimize is the sum of a convex differentiable data-fidelity (negative log-likelihood (NLL)) term and a convex regularization term. We apply sparse signal regularization where the signal belongs to a closed convex set within the closure of the domain of the NLL; the convex-set constraint facilitates flexible NLL domains and accurate signal recovery. Signal sparsity is imposed using the `1-norm penalty on the signal’s linear transform coefficients. The PNPG approach employs a projected Nesterov’s acceleration step with restart and a duality-based inner iteration to compute the proximal mapping. We propose an adaptive step-size selection scheme to obtain a good local majorizing function of the NLL and reduce the time spent backtracking. Thanks to step-size adaptation, PNPG converges faster than the methods that do not adjust to the local curvature of the NLL. We present an integrated derivation of the momentum acceleration and proofs of O.k / objective function convergence rate and convergence of the iterates, which account for adaptive step size, inexactness of the iterative proximal mapping, and the convex-set constraint. The tuning of PNPG is largely application independent. Tomographic and compressed-sensing reconstruction experiments with Poisson generalized linear and Gaussian linear measurement models demonstrate the performance of the proposed approach.