A MATLAB Solver for L1-Regularization Problems


Latest Version 1.1 (April 29, 2009). [download]
Previous Version 1.0 (September 5, 2008).
  • Notice: Function PCG of MATLAB (at least for 2008a and earlier versions) performs two matrix-vector multiplications at each iteration, in which only one is needed. Therefore, PCG was modified and saved as WPCG under src/private in FPC_AS 1.1.
  • Contents: FPC_AS solver, test problems, MATLAB class A_operator, FPC's problem generator
  • Language: MATLAB (tested on versions 2007a/b, 2008a)
  • User Manual: [pdf]
  • Tech report [pdf] by Z. Wen, W. Yin, D. Goldfarb, and Y. Zhang, last updated in Jan 2009
  • Code Authors:
    • Zaiwen Wen [link], IEOR, Columbia University
    • Wotao Yin [link], CAAM, Rice University