There exist many well-established techniques to recover sparse signals from compressed measurements with known performance guarantees in the static case. However, only a few methods have been proposed to tackle the recovery of time-varying signals, and even fewer benefit from a theoretical analysis. In this paper, we study the capacity of the Iterative Soft-Thresholding Algorithm (ISTA) and its continuous-time analogue the Locally Competitive Algorithm (LCA) to perform this tracking in real time. ISTA is a well-known digital solver for static sparse recovery, whose iteration is a first-order discretization of the LCA differential equation. Our analysis shows that the outputs of both algorithms can track a time-varying signal while compressed measurements are streaming, even when no convergence criterion is imposed at each time step. The L2-distance between the target signal and the outputs of both discrete- and continuous-time solvers is shown to decay to a bound that is essentially optimal. Our analyses is supported by simulations on both synthetic and real data.
ISTA is one of the earliest digital algorithms developed for sparse recovery @cite_17 , and although it tends to converge slowly, many state-of-the-art solvers are only slight variations of its simple update rule @cite_13 @cite_10 @cite_5 @cite_32 . Its update rule can be seen as a discretized generalized-gradient step for . At the @math iterate, the output is denoted by @math and the update rule is We indicate the iterate number @math in brackets, to match the notation for the continuous time index, and the @math entry of the vector in a subscript: @math . : The activation function @math is the soft-thresholding function defined by: , where @math . The constant @math represents the size of the gradient step, which is usually required to be in the interval @math to ensure convergence. Several papers have shown that ISTA converges to the solution @math of as @math goes to infinity from any initial point @math with linear rate @cite_27 @cite_2 , i.e. @math such that @math @math
@cite_13 @cite_32 @cite_27 @cite_2 @cite_5 @cite_10 @cite_17
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We consider the class of iterative shrinkage-thresholding algorithms (ISTA) for solving linear inverse problems arising in signal image processing. This class of methods, which can be viewed as an extension of the classical gradient algorithm, is attractive due to its simplicity and thus is adequate for solving large-scale problems even with dense matrix data. However, such methods are also known to converge quite slowly. In this paper we present a new fast iterative shrinkage-thresholding algorithm (FISTA) which preserves the computational simplicity of ISTA but with a global rate of convergence which is proven to be significantly better, both theoretically and practically. Initial promising numerical results for wavelet-based image deblurring demonstrate the capabilities of FISTA which is shown to be faster than ISTA by several orders of magnitude. We consider the class of Iterative Shrinkage-Thresholding Algorithms (ISTA) for solving linear inverse problems arising in signal image processing. This class of methods is attractive due to its simplicity, however, they are also known to converge quite slowly. In this paper we present a Fast Iterative Shrinkage-Thresholding Algorithm (FISTA) which preserves the computational simplicity of ISTA, but with a global rate of convergence which is proven to be significantly better, both theoretically and practically. Initial promising numerical results for wavelet-based image deblurring demonstrate the capabilities of FISTA. With the aim of developing a fast yet accurate algorithm for compressive sensing (CS) reconstruction of natural images, we combine in this paper the merits of two existing categories of CS methods: the structure insights of traditional optimization-based methods and the speed of recent network-based ones. Specifically, we propose a novel structured deep network, dubbed ISTA-Net, which is inspired by the Iterative Shrinkage-Thresholding Algorithm (ISTA) for optimizing a general @math norm CS reconstruction model. To cast ISTA into deep network form, we develop an effective strategy to solve the proximal mapping associated with the sparsity-inducing regularizer using nonlinear transforms. All the parameters in ISTA-Net (e.g. nonlinear transforms, shrinkage thresholds, step sizes, etc.) are learned end-to-end, rather than being hand-crafted. Moreover, considering that the residuals of natural images are more compressible, an enhanced version of ISTA-Net in the residual domain, dubbed ISTA-Net+, is derived to further improve CS reconstruction. Extensive CS experiments demonstrate that the proposed ISTA-Nets outperform existing state-of-the-art optimization-based and network-based CS methods by large margins, while maintaining fast computational speed. Our source codes are available: http: jianzhang.tech projects ISTA-Net. Sparse coding is a core building block in many data analysis and machine learning pipelines. Typically it is solved by relying on generic optimization techniques, that are optimal in the class of first-order methods for non-smooth, convex functions, such as the Iterative Soft Thresholding Algorithm and its accelerated version (ISTA, FISTA). However, these methods don't exploit the particular structure of the problem at hand nor the input data distribution. An acceleration using neural networks was proposed in Gregor10 , coined LISTA, which showed empirically that one could achieve high quality estimates with few iterations by modifying the parameters of the proximal splitting appropriately. In this paper we study the reasons for such acceleration. Our mathematical analysis reveals that it is related to a specific matrix factorization of the Gram kernel of the dictionary, which attempts to nearly diagonalise the kernel with a basis that produces a small perturbation of the @math ball. When this factorization succeeds, we prove that the resulting splitting algorithm enjoys an improved convergence bound with respect to the non-adaptive version. Moreover, our analysis also shows that conditions for acceleration occur mostly at the beginning of the iterative process, consistent with numerical experiments. We further validate our analysis by showing that on dictionaries where this factorization does not exist, adaptive acceleration fails.