Dual-Augmented Lagrangian Method for Efficient Sparse Reconstruction

We propose an efficient algorithm for sparse signal reconstruction problems. The proposed algorithm is an augmented Lagrangian method based on the dual problem. It is efficient when the number of unknown variables is much larger than the number of observations because of the dual formulation. Moreover, the primal variable is explicitly updated and the sparsity in the solution is exploited. Numerical comparison with the state-of-the-art algorithms shows that the proposed algorithm is favorable when the design matrix is poorly conditioned or dense and very large.