SIAM J. Optim. to appear PROXIMAL THRESHOLDING ALGORITHM FOR MINIMIZATION OVER ORTHONORMAL BASES ∗

Abstract. The notion of soft thresholding plays a central role in problems from various areas of applied mathematics, in which the ideal solution is known to possess a sparse decomposition in some orthonormal basis. Using convex-analytical tools, we extend this notion to that of proximal thresholding and investigate its properties, providing in particular several characterizations of such thresholders. We then propose a versatile convex variational formulation for optimization over orthonormal bases that covers a wide range of problems, and establish the strong convergence of a proximal thresholding algorithm to solve it. Numerical applications to signal recovery are demonstrated