Rectified Gaussian Scale Mixtures and the Sparse Non-Negative Least Squares Problem.

In this paper, we develop a Bayesian evidence maximization framework to solve the sparse non-negative least squares problem (S-NNLS). We introduce a family of probability densities referred to as the Rectified Gaussian Scale Mixture (R-GSM), to model the sparsity enforcing prior distribution for the signal of interest. The R-GSM prior encompasses a variety of heavy-tailed distributions such as the rectified Laplacian and rectified Student-t distributions with a proper choice of the mixing density. We utilize the hierarchical representation induced by the R-GSM prior and develop an evidence maximization framework based on the Expectation-Maximization (EM) algorithm. Using the EM-based method, we estimate the hyper-parameters and obtain a point estimate for the solution of interest. We refer to this proposed method as rectified Sparse Bayesian Learning (R-SBL). We provide four EM-based R-SBL variants that offer a range of options to trade-off computational complexity to the quality of the E-step computation. These methods include the Markov Chain Monte Carlo EM, linear minimum mean square estimation, approximate message passing and a diagonal approximation. Using numerical experiments, we show that the proposed R-SBL method outperforms existing S-NNLS solvers in terms of both signal and support recovery, and is very robust against the structure of the design matrix.