On convergence of iterative thresholding algorithms to approximate sparse solution for composite nonconvex optimization

This paper aims to find an approximate true sparse solution of an underdetermined linear system. For this purpose, we propose two types of iterative thresholding algorithms with the continuation technique and the truncation technique respectively. We introduce a notion of limited shrinkage thresholding operator and apply it, together with the restricted isometry property, to show that the proposed algorithms converge to an approximate true sparse solution within a tolerance relevant to the noise level and the limited shrinkage magnitude. Applying the obtained results to nonconvex regularization problems with SCAD, MCP and \(\ell _p\) penalty (\(0\le p \le 1\)) and utilizing the recovery bound theory, we establish the convergence of their proximal gradient algorithms to an approximate global solution of nonconvex regularization problems. The established results include the existing convergence theory for \(\ell _1\) or \(\ell _0\) regularization problems for finding a true sparse solution as special cases. Preliminary numerical results show that our proposed algorithms can find approximate true sparse solutions that are much better than stationary solutions that are found by using the standard proximal gradient algorithm.