A proximal approach to the inversion of ill-conditioned matrices

We propose a general proximal algorithm for the inversion of ill-conditioned matrices. This algorithm is based on a variational characterization of pseudo-inverses. We show that a particular instance of it (with constant regularization parameter) belongs to the class of fixed point methods. Convergence of the algorithm is also discussed. To cite this article: P Marechal, A. Rondepierre, C R. Acad. Sci. Paris, Ser. I 347 (2009). (C) 2009 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.