11-magic : Recovery of sparse signals via convex programming

For maximum computational efficiency, the solvers for each of the seven problems are implemented separately. They all have the same basic structure, however, with the computational bottleneck being the calculation of the Newton step (this is discussed in detail below). The code can be used in either “small scale” mode, where the system is constructed explicitly and solved exactly, or in “large scale” mode, where an iterative matrix-free algorithm such as conjugate gradients (CG) is used to approximately solve the system.

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