AuthorsE. De Vito, M. Fornasier and V. Naumova
TitleA machine learning approach to optimal Tikhonov regularization I: Affine manifolds
AfilliationMachine Learning
Project(s)FunDaHD: Function-driven Data Learning in High Dimension
Publication TypeJournal Article
Year of Publication2020
JournalAnalysis and Applications
PublisherMIT Press

Inspired by several real-life applications in audio processing and medical image analysis, where the quantity of interest is generated by several sources to be accurately modeled and separated, as well as by recent advances in  regularization theory and optimization, we study the conditions on optimal support recovery in inverse problems of unmixing type by means of multi-penalty regularization.  

We consider and analyze a regularization functional composed of a data-fidelity term, where signal and noise are additively mixed, a non-smooth, convex, sparsity promoting term, and a quadratic penalty term to model the noise. We prove not only that  the well-established theory for sparse recovery in the single parameter case can be translated to the multi-penalty settings, but  we also demonstrate the enhanced properties of multi-penalty regularization in terms of support identification compared to sole $\ell^1$-minimization.  We additionally confirm and support the theoretical results by extensive numerical simulations, which give a statistics of robustness of the multi-penalty regularization scheme with respect to the single-parameter counterpart. 
Eventually, we confirm a significant improvement in performance compared to standard $\ell^1$-regularization for compressive sensing problems considered in our experiments. 

Citation Key24843

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