A numerical implementation of gridless compressed sensing

Atomic norm denoising has been recently introduced as a generalization of the Least Absolute Shrinkage and Selection Operator (LASSO) to overcome the problem of off-grid parameters. The method has been found to possess many interesting theoretical properties. However, its implementation has been only discussed in a special case of spectral line estimation by uniform sampling. In this paper, we propose a general numerical method to solve the atomic norm denoising problem. The complexity of the proposed algorithm is proportional to the complexity of a single-parameter search in the parameter space and thus in many interesting cases, including frequency estimation it enjoys fast realization.