Computational Methods for Sparse Solution of Linear Inverse Problems

In sparse approximation problems, the goal is to find an approximate representation of a target signal using a linear combination of a few elementary signals drawn from a fixed collection. This paper surveys the major algorithms that are used for solving sparse approximation problems in practice. Specific attention is paid to computational issues, to the circumstances in which individual methods tend to perform well, and to the theoretical guarantees available. Many fundamental questions in electrical engineering, statistics, and applied mathematics can be posed as sparse approximation problems, which makes the algorithms discussed in this paper versatile tools with a wealth of applications.