Cauchy Proximal Splitting (CPS)

In this project, we develop a proximal splitting methodology with a non-convex penalty function based on the heavy-tailed Cauchy distribution. We first suggest a closed-form expression for calculating the proximal operator of the Cauchy prior, which then makes it applicable in generic proximal splitting algorithms. We further derive the condition required for guaranteed convergence to the global minimum in optimisation problems involving the Cauchy based penalty function. Setting the system parameters by satisfying the proposed condition ensures convergence even though the overall cost function is non-convex when minimisation is performed via a proximal splitting algorithm.

The proposed proximal splitting method based on Cauchy regularisation is evaluated by solving generic signal processing examples,
** 1D signal denoising in the frequency domain,
** Two image reconstruction tasks including de-blurring and denoising,
** Error recovery in a multiple-antenna communication system.

We experimentally verify the proposed convergence conditions for various cases, and show the effectiveness of the proposed Cauchy based non-convex penalty function over state-of-the-art penalty functions such as L1 and total variation (TV) norms.

Further information

O. Karakuş, P. Mayo and A. Achim, “Convergence Guarantees for Non-Convex Optimisation With Cauchy-Based Penalties,” in IEEE Transactions on Signal Processing, vol. 68, pp. 6159-6170, 2020, doi: 10.1109/TSP.2020.3032231.

Code

O Karakus, A Achim. (2020): Cauchy Proximal Splitting (CPS).
https://doi.org/10.5523/bris.15y437loa26cr2nx8gnn3l4hzi

Contact

Oktay Karakuş, Perla Mayo, Alin Achim

Funding

This work was supported
** in part by the UK Engineering and Physical Sciences Research Council (EPSRC) under grant EP/R009260/1 (AssenSAR),
** in part by a CONACyT PhD studentship under grant 461322 to Mayo,
** in part by a Leverhulme Trust Research Fellowship to Achim (INFHER).