Iteratively weighted thresholding homotopy method for the sparse solution of underdetermined linear equations

Recently, iteratively reweighted methods have attracted much interest in compressed sensing, outperforming their unweighted counterparts in most cases. In these methods, decision variables and weights are optimized alternatingly, or decision variables are optimized under heuristically chosen weights. In this paper, we present a novel weighted l1-norm minimization problem for the sparsest solution of underdetermined linear equations. We propose an iteratively weighted thresholding method for this problem, wherein decision variables and weights are optimized simultaneously. Furthermore, we prove that the iteration process will converge eventually. Using the homotopy technique, we enhance the performance of the iteratively weighted thresholding method. Finally, extensive computational experiments show that our method performs better in terms of both running time and recovery accuracy compared with some state-of-the-art methods.