Optimally Tuned Iterative Reconstruction Algorithms for Compressed Sensing

We conducted an extensive computational experiment, lasting multiple CPU-years, to optimally select parameters for two important classes of algorithms for finding sparse solutions of underdetermined systems of linear equations. We make the optimally tuned implementations available at sparselab.stanford.edu; they run "out of the box" with no user tuning: it is not necessary to select thresholds or know the likely degree of sparsity. Our class of algorithms includes iterative hard and soft thresholding with or without relaxation, as well as CoSaMP, subspace pursuit and some natural extensions. As a result, our optimally tuned algorithms dominate such proposals. Our notion of optimality is defined in terms of phase transitions, i.e., we maximize the number of nonzeros at which the algorithm can successfully operate. We show that the phase transition is a well-defined quantity with our suite of random underdetermined linear systems. Our tuning gives the highest transition possible within each class of algorithms. We verify by extensive computation the robustness of our recommendations to the amplitude distribution of the nonzero coefficients as well as the matrix ensemble defining the underdetermined system. Our findings include the following. 1) For all algorithms, the worst amplitude distribution for nonzeros is generally the constant-amplitude random-sign distribution, where all nonzeros are the same amplitude. 2) Various random matrix ensembles give the same phase transitions; random partial isometries may give different transitions and require different tuning. 3) Optimally tuned subspace pursuit dominates optimally tuned CoSaMP, particularly so when the system is almost square.