Exact Sparse Approximation Problems via Mixed-Integer Programming: Formulations and Computational Performance

Abstract

Sparse approximation addresses the problem of approximately fitting a linear model with a solution having as few non-zero components as possible. While most sparse estimation algorithms rely on suboptimal formulations, this work studies the performance of exact optimization of l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">0</sub> -norm-based problems through Mixed-Integer Programs (MIPs). Nine different sparse optimization problems are formulated based on l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> , l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">2</sub> or l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">∞</sub> data misfit measures, and involving whether constrained or penalized formulations. For each problem, MIP reformulations allow exact optimization, with optimality proof, for moderate-size yet difficult sparse estimation problems. Algorithmic efficiency of all formulations is evaluated on sparse deconvolution problems. This study promotes error-constrained minimization of the l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">0</sub> norm as the most efficient choice when associated with l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> and l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">∞</sub> misfits, while the l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">2</sub> misfit is more efficiently optimized with sparsity-constrained and sparsity-penalized problems. Exact l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">0</sub> -norm optimization is shown to outperform classical methods in terms of solution quality, both for over- and underdetermined problems. Numerical simulations emphasize the relevance of the different lp fitting possibilities as a function of the noise statistical distribution. Such exact approaches are shown to be an efficient alternative, in moderate dimension, to classical (suboptimal) sparse approximation algorithms with l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">2</sub> data misfit. They also provide an algorithmic solution to less common sparse optimization problems based on l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> and l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">∞</sub> misfits. For each formulation, simulated test problems are proposed where optima have been successfully computed. Data and optimal solutions are made available as potential benchmarks for evaluating other sparse approximation methods.