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mpf authored Nov 13, 2024
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$$\underset{x}{\text{minimize}} \hspace{0.5em} \lambda \||x\||_1 + \frac{1}{2} \||Ax - b\||^2_2$$

The package is a Julia port of a similar [Matlab `asp` package](https://github.com/MPF-Optimization-Laboratory/asp).

### Implemented Algorithms:
- Basis Pursuit Denoising
- Orthogonal Matching Pursuit
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The package can be installed as follows:
```jlcon
julia> ] add ActiveSetPursuit
```



## Example Usage

The `asp_bpdn` function within the `ActiveSetPursuit` package efficiently solves the basis pursuit denoising problem.
Expand Down Expand Up @@ -57,3 +57,7 @@ To extract the final iterate:
```jlcon
x_final, λ_final = tracer[end]
```

## Reference

Michael Friedlander and Michael Saunders. A dual active-set quadratic programming method for finding sparse least-squares solutions, DRAFT Technical Report, Dept of Computer Science, University of British Columbia, July 30, 2012; updated April 13, 2019. [[PDF]](https://friedlander.io/files/pdf/bpprimal.pdf)

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