Research Report: Exact biconvex reformulation of the $\ell_2-\ell_0$ minimization problem

We focus on the minimization of the least square loss function either under a $k$-sparse constraint or with a sparse penalty term. Based on recent results, we reformulate the $\ell_0$ pseudo-norm exactly as a convex minimization problem by introducing an auxiliary variable. We then propose an exact biconvex reformulation of the $\ell_2-\ell_0$ constrained and penalized problems. We give correspondence results between minimizers of the initial function and the reformulated ones. The reformulation is biconvex and the non-convexity is due to a penalty term. These two properties are used to derive a minimization algorithm. We apply the algorithm to the problem of single-molecule localization microscopy and compare the results with the well-known Iterative Hard Thresholding algorithm. Visually and numerically the biconvex reformulations perform better.