An algorithm for the minimization of mixed l1 andl2 norms with application to Bayesian estimation

  • Authors:
  • S. Alliney;S.A. Ruzinsky

  • Affiliations:
  • Inst. di Matematica Generale e Finanziaria, Bologna Univ.;-

  • Venue:
  • IEEE Transactions on Signal Processing
  • Year:
  • 1994

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Abstract

The regularizing functional approach is widely used in many estimation problems. In practice, the solution is defined as one minimum point of a suitable functional, the main part of which accounts for the underlying physical model, whereas the regularizing part represents some prior information about the unknowns. In the Bayesian interpretation, one has a maximum a posteriori (MAP) estimator in which the main and regularizing parts are represented, respectively, by likelihood and prior distributions. When either the prior or likelihood is a Laplace distribution and the other is a Gaussian distribution, one is led to consider functionals that include both absolute and square norms. The authors present a characterization of the minimum points of such functionals, together with a descent-type algorithm for numerical computations. The results of Monte-Carlo simulations are also reported