Frame Soft Shrinkage Operators are Proximity Operators

Understand

In this paper, we show that the commonly used frame soft shrinkage operator, that maps a given vector ${\mathbf x} \in {\mathbb R}^{N}$ onto the vector ${\mathbf T}^{\dagger} S_{\gamma} {\mathbf T} {\mathbf x}$, is already a proximity operator, which can therefore be directly used in corresponding splitting algorithms.

• In our setting, the frame transform matrix ${\mathbf T} \in {\mathbb R}^{L \times N}$ with $L \ge N$ has full rank $N$, ${\mathbf T}^{\dagger}$ denotes the Moore-Penrose inverse of ${\mathbf T}$, and $S_{\gamma}$ is the usual soft shrinkage operator with threshold parameter $\gamma >0$.
• Our result generalizes the known assertion that ${\mathbf T}^{*} S_{\gamma} {\mathbf T}$ is the proximity operator of $\| {\mathbf T} \cdot \|_{1}$ if ${\mathbf T}$ is an orthogonal (square) matrix.
• It is well-known that for rectangular frame matrices ${\mathbf T}$ with $L > N$, the proximity operator of $\| {\mathbf T} \cdot \|_{1}$ does not have a closed representation and needs to be computed iteratively.