A Dynamic Working Set Method for Compressed Sensing

Siu-Wing Cheng, Man Ting Wong

We propose a dynamic working set method (DWS) for the problem ${\min }_{\mathtt{x}\in {\mathbb{R}}^n}\frac{1}{2}\Vert \mathtt{Ax}-\mathtt{b}{\Vert }^2+\eta \Vert \mathtt{x}{\Vert }_1$ that arises from comp…