Generalized thresholding sparsity-aware algorithm for low complexity online learning

Yannis Kopsinis, Konstantinos Slavakis, Sergios Theodoridis, Steve McLaughlin

Abstract: In this paper, a novel scheme for online, sparsity-aware learning is presented. A new theory is developed that allows for the incorporation, in a unifying way, of different thresholding rules to promote sparsity, that may even be of a nonconvex nature. The complexity of the algorithm exhibits a linear dependence on the number of free parameters.