Proximal linearized iteratively reweighted least squares for a class of nonconvex and nonsmooth problems

For solving a wide class of nonconvex and nonsmooth problems, we propose a proximal linearized iteratively reweighted least squares (PL-IRLS) algorithm. We first approximate the original problem by smoothing methods, and second write the approximated problem into an auxiliary problem by introducing new variables. PL-IRLS is then built on solving the auxiliary problem by utilizing the proximal linearization technique and the iteratively reweighted least squares (IRLS) method, and has remarkable computation advantages. We show that PL-IRLS can be extended to solve more general nonconvex and nonsmooth problems via adjusting generalized parameters, and also to solve nonconvex and nonsmooth problems with two or more blocks of variables. Theoretically, with the help of the KurdykaLojasiewicz property, we prove that each bounded sequence generated by PL-IRLS globally converges to a critical point of the approximated problem. To the best of our knowledge, this is the first global convergence result of applying IRLS idea to solve nonconvex and nonsmooth problems. At last, we apply PL-IRLS to solve three representative nonconvex and nonsmooth problems in sparse signal recovery and low-rank matrix recovery and obtain new globally convergent algorithms.