4
$\begingroup$

Problem Statement

Show how the $L_1$-sparse reconstruction problem: $$\min_{x}{\left\lVert x\right\rVert}_1 \quad \text{subject to} \; y=Ax$$ can be reduced to a linear programming problem of form similar to: $$\min_{u}{b^Tu} \quad \text{subject to} \; Gu=h, Cu\le e.$$ We can assume that $y$ belongs to the range of $A$, typically because $A\in \mathbb{R}^{m\times n}$ is full-rank with $m\lt n$.

What I've Got

I have never worked with linear programming before, and though I think I understand the basics, I have no experience with this kind of reduction. So far, I have tried understanding the problem geometrically: any $x$ in the solution set to $y=Ax$ can be written as the sum of some arbitrary solution $x_0$ and a vector $v$ in the null space of $A$, so the solution set is a shifted copy of the null space. We are trying to expand the $L_1$-ball (or hyper-diamond? I don't know what to call it) until one of the corners hits that shifted subspace. My problem is, I don't know how to express that formally.

The best I can think of is to use a method similar to this question and let $t_i=\left\lvert x_i\right\rvert, i=1\dots n$ and rewrite the objective as: $$\min_{t}{1^Tt} \quad \text{subject to} \; x\le t, -x\le t, y=Ax$$ But then $x$ is still floating around in the problem, which doesn't match the desired form (and isn't implementable with MATLAB's linprog function, which I will have to do later). And even if we find such a $t$, recovering the underlying $x$ doesn't seem straightforward to me either.

Am I even moving in the right direction? Any help is appreciated.

$\endgroup$
  • 1
    $\begingroup$ Looks good. Except you may want to write $\min_{x,t}$ instead of just $\min_{t}$. Just plug it in your LP solver and retrieve the solution for $x$ (both $x$ and $t$ will be decision variables). $\endgroup$ – Erwin Kalvelagen Feb 4 '16 at 13:12
  • $\begingroup$ @ErwinKalvelagen Thank you! I hadn't thought to include x in my decision variable; I assumed we were supposed to transform it and solve indirectly. I posted my solution as an answer. $\endgroup$ – p.koch Feb 4 '16 at 15:41
  • 1
    $\begingroup$ The solution of $Ax = y$ is of the form $x = \bar{x} + V \eta$, where the columns of $V$ form a basis of the null space of $A$. Hence, one could minimize $\| V \eta + \bar{x} \|_1$, which is a lower-dimensional problem without any constraints. $\endgroup$ – Rodrigo de Azevedo Jun 5 '18 at 10:29
  • $\begingroup$ Hi, Any reason you haven't marked an answer? $\endgroup$ – Royi May 18 at 16:25
5
$\begingroup$

Conversion of Basis Pursuit to Linear Programming

The Basis Pursuit problem is given by:

$$ \begin{align*} \arg \min_{x} \: & \: {\left\| x \right\|}_{1} \\ \text{subject to} \: & \: A x = b \end{align*} $$

Method A

The term $ {\left\| x \right\|}_{1} $ can written in element wise form:

$$ {\left\| x \right\|}_{1} = \sum_{i = 1}^{n} \left| {x}_{i} \right| $$

Then setting $ \left| {x}_{i} \right| \leq {t}_{i} $ one could write:

$$ \begin{align*} \arg \min_{t} \: & \: \boldsymbol{1}^{T} t \\ \text{subject to} \: & \: A x = b \\ & \: \left| {x}_{i} \right| \leq {t}_{i} \; \forall i \end{align*} $$

Since $ \left| {x}_{i} \right| \leq {t}_{i} \iff {x}_{i} \leq {t}_{i}, \, {x}_{i} \geq -{t}_{i} $ then:

$$ \begin{align*} \arg \min_{t} \: & \: \boldsymbol{1}^{T} t \\ \text{subject to} \: & \: A x = b \\ & \: {x}_{i} \leq {t}_{i} \; \forall i \\ & \: {x}_{i} \geq -{t}_{i} \; \forall i \end{align*} $$

Which can be farther refined:

$$ \begin{align*} \arg \min_{t} \: & \: \boldsymbol{1}^{T} t \\ \text{subject to} \: & \: A x = b \\ & \: I x - I t \preceq \boldsymbol{0} \\ & \: -I x - I t \preceq \boldsymbol{0} \end{align*} $$

Which is a Linear Programming problem.

Method B

Define:

$$ x = u - v, \; {u}_{i} = \max \left\{ {x}_{i}, 0 \right\}, \; {v}_{i} = \max \left\{ -{x}_{i}, 0 \right\} $$

Then the problem becomes:

$$ \begin{align*} \arg \min_{u, v} \: & \: \sum_{i = 1}^{n} {u}_{i} + {v}_{i} \\ \text{subject to} \: & \: A \left( u - v \right) = b \\ & \: u \succeq \boldsymbol{0} \\ & \: v \succeq \boldsymbol{0} \end{align*} $$

MATLAB Implementation

MATLAB Implementation is straight forward using the linprog() function.
The full code, including validation using CVX, can be found in my StackExchange Mathematics Q1639716 GitHub Repository.

Code Snippet - Method A
function [ vX ] = SolveBasisPursuitLp001( mA, vB )


numRows = size(mA, 1);
numCols = size(mA, 2);

%% vX = [vX; vT]

mAeq = [mA, zeros(numRows, numCols)];
vBeq = vB;

vF = [zeros([numCols, 1]); ones([numCols, 1])];
mA = [eye(numCols), -eye(numCols); -eye(numCols), -eye(numCols)];
vB = zeros(2 * numCols, 1);

sSolverOptions = optimoptions('linprog', 'Display', 'off');
vX = linprog(vF, mA, vB, mAeq, vBeq, [], [], sSolverOptions);
vX = vX(1:numCols);


end
Code Snippet - Method B
function [ vX ] = SolveBasisPursuitLp002( mA, vB )

numRows = size(mA, 1);
numCols = size(mA, 2);

% vU = max(vX, 0);
% vV = max(-vX, 0);
% vX = vU - vX;
% vUV = [vU; vV];

vF = ones([2 * numCols, 1]);

mAeq = [mA, -mA];
vBeq = vB;

vLowerBound = zeros([2 * numCols, 1]);
vUpperBound = inf([2 * numCols, 1]);

sSolverOptions = optimoptions('linprog', 'Display', 'off');

vUV = linprog(vF, [], [], mAeq, vBeq, vLowerBound, vUpperBound, sSolverOptions);

vX = vUV(1:numCols) - vUV(numCols + 1:end);


end
$\endgroup$
  • 1
    $\begingroup$ Nice answer. However, I think things would be clearer, if in Method A you changed the $\arg \min_{t}$ to $\arg \min_{x,t}$. $\endgroup$ – Elmar Zander Jun 5 '18 at 10:00
  • $\begingroup$ @ElmarZander, Hi. Thank you for the compliment. Feel free to +1. Regarding writing $ x $ explicitly, for some reason the convention is not write it as it is not part of the objective function but part of the constrains. $\endgroup$ – Royi Jun 5 '18 at 10:10
  • $\begingroup$ That maybe some convention, but not all conventions are necessarily good. In my view, it makes the expression incorrect as the binding of $x$ becomes unclear and considering $x$ as a free variable isn't correct as well. Furthermore, minimisation over $x$ and $t$ is what is really done in the algorithm and so also the code would better fit to formulas. $\endgroup$ – Elmar Zander Jun 5 '18 at 10:36
3
$\begingroup$

Figured it out! As Erwin pointed out, the formulation above is valid (save the fact that it should be optimized over x and t together). In order to write it in the form suggested by the problem, I needed to stack x and t:

$$\min_{u=[x^T\;t^T]^T}\begin{bmatrix}0\\1\end{bmatrix}^T\begin{bmatrix}x\\t\end{bmatrix} \quad \text{subject to}\; \begin{bmatrix}I & -I \\ -I & -I\end{bmatrix}\begin{bmatrix}x\\t\end{bmatrix}\le\begin{bmatrix}0\\0\end{bmatrix},\; \begin{bmatrix}A & 0\end{bmatrix}\begin{bmatrix}x\\t\end{bmatrix} = y,\;\begin{bmatrix}x\\t\end{bmatrix}\ge\begin{bmatrix}-\infty\\0\end{bmatrix}$$

(Please excuse my sloppy use of $0$ and $1$ for a vector/matrix of all zeros or all ones)

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.