Sparse solution of overdetermined linear systems when the columns of $A$ are orthogonal

Abstract

In this paper, we consider the problem of obtaining the best $k$-sparse solution of $Ax=y$ subject to the constraint that the columns of $A$ are orthogonal. The naive approach for obtaining a solution to this problem has exponential complexity and there exist $l_1$ regularization methods such as Lasso to obtain approximate solutions. In this paper, we show that we can obtain an exact solution to the problem, with much less computational effort compared to the brute force search when the columns of $A$ are orthogonal.