A new algorithm for computing sparse solutions to linear inverse problems

We present an iterative algorithm for computing sparse solutions (or sparse approximate solutions) to linear inverse problems. The algorithm is intended to supplement the existing arsenal of techniques. It is shown to converge to the local minima of a function of the form used for picking out sparse solutions, and its connection with existing techniques explained. Finally, it is demonstrated on subset selection and deconvolution examples. The fact that the proposed algorithm is sometimes successful when existing greedy algorithms fail is also demonstrated.