A Gauss-Seidel Iterative Thresholding Algorithm for lq Regularized Least Squares Regression

In recent studies on sparse modeling, lq (0 < q < 1) regularized least squares regression (lqLS) has received considerable attention due to its superiorities on sparsity-inducing and bias-reduction over the convex counterparts. In this paper, we propose a Gauss-Seidel iterative thresholding algorithm (called GAITA) for solution to this problem. Different from the classical iterative thresholding algorithms using the Jacobi updating rule, GAITA takes advantage of the GaussSeidel rule to update the coordinate coefficients. Under a mild condition, we can justify that the support set and sign of an arbitrary sequence generated by GAITA will converge within finite iterations. This convergence property together with the KurdykaLojasiewicz property of (lqLS) naturally yields the strong convergence of GAITA under the same condition as above, which is generally weaker than the condition for the convergence of the classical iterative thresholding algorithms. Furthermore, we demonstrate that GAITA converges to a local minimizer under certain additional conditions. A set of numerical experiments are provided to show the effectiveness, particularly, much faster convergence of GAITA as compared with the classical iterative thresholding algorithms.