Iteratively reweighted algorithms for compressive sensing

The theory of compressive sensing has shown that sparse signals can be reconstructed exactly from many fewer measurements than traditionally believed necessary. In [1], it was shown empirically that using ℓ p minimization with p ≪ 1 can do so with fewer measurements than with p = 1. In this paper we consider the use of iteratively reweighted algorithms for computing local minima of the nonconvex problem. In particular, a particular regularization strategy is found to greatly improve the ability of a reweighted least-squares algorithm to recover sparse signals, with exact recovery being observed for signals that are much less sparse than required by an unregularized version (such as FOCUSS, [2]). Improvements are also observed for the reweighted-ℓ 1 approach of [3].