论文标题
可变的预测增强拉格朗日方法
The Variable Projected Augmented Lagrangian Method
论文作者
论文摘要
通过一系列观测值的数学建模推断仍然是科学发现的关键工具,并且在应用领域(例如信号压缩,成像恢复和监督机器学习)中无处不在。可以使用提供理论上证明的方法和算法的变异公式来解决推理问题。随着模型复杂性的不断增长和数据规模的增长,迫切需要新的专门设计的方法来恢复有意义的量化感兴趣的量化。我们考虑了线性逆问题的广泛范围,在某些矢量空间上,目的是重建数量稀疏的数量;通常使用(广义)绝对收缩和选择算子(LASSO)解决。相关的优化问题引起了极大的关注,尤其是在2000年代初期,由于它们与压缩感应以及使用增强的Lagrangians,交替的方向和分裂方法的稀疏性能的解决方案的联系。我们通过通过可变投影方法探索广义的套索问题,对基础L1正则化逆问题提供了新的观点。我们到达了建议的变量预测的增强拉格朗日(VPAL)方法。我们分析了此方法,并根据自由度参数提供了一种自动正则参数选择的方法。此外,我们提供了数字示例,证明了各种成像问题的计算效率。
Inference by means of mathematical modeling from a collection of observations remains a crucial tool for scientific discovery and is ubiquitous in application areas such as signal compression, imaging restoration, and supervised machine learning. The inference problems may be solved using variational formulations that provide theoretically proven methods and algorithms. With ever-increasing model complexities and growing data size, new specially designed methods are urgently needed to recover meaningful quantifies of interest. We consider the broad spectrum of linear inverse problems where the aim is to reconstruct quantities with a sparse representation on some vector space; often solved using the (generalized) least absolute shrinkage and selection operator (lasso). The associated optimization problems have received significant attention, in particular in the early 2000's, because of their connection to compressed sensing and the reconstruction of solutions with favorable sparsity properties using augmented Lagrangians, alternating directions and splitting methods. We provide a new perspective on the underlying l1 regularized inverse problem by exploring the generalized lasso problem through variable projection methods. We arrive at our proposed variable projected augmented Lagrangian (vpal) method. We analyze this method and provide an approach for automatic regularization parameter selection based on a degrees of freedom argument. Further, we provide numerical examples demonstrating the computational efficiency for various imaging problems.