MFIPMCS (Matrix-free Interior Point Method for Compressed Sensing) is a MATLAB implementation for the solution of real valued compressed sensing problems. The solver is memoryless, it requires only matrix-vector product operations, hence, it is appropriate for large-scale instances.
The latter is a achieved by employing a Krylov subspace method (i.e conjugate gradient) for the solution of Newton linear systems at every iteration. Due to the implementation of a robust preconditioning technique for the conjugate gradient method, the solver has low computational costs per iteration. Numerical experiments show that the solver compares favourably with other state-of-the-art implementations.
MFIPMCS is a MATLAB implementation.
MFIPMCS or Matrix-free Interior Point Method for Compressed Sensing Copyright (C) 2012, Kimon Fountoulakis, Jacek Gondzio and Pavel Zhlobich.
This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.