ℓp-constrained least squares (0 < p < 1) and its critical path

The ℓ_p-constrained least squares, which is denoted by (Pc), for 0 <; p <; 1 is addressed. A maximal continuous curve of its critical solutions β(c) for different bounds c forms a critical path which can be constructed with the variational method. The path is a piecewise smooth single-valued function of c, containing non-optimal points such as saddle points and local maxima in general as well as global minima. The path of global minima may coincide with a critical path but may jump from a critical path to another one. The breakpoints of the greedy path (a critical path constructed with a certain greedy selection criterion) coincide with the step-by-step solutions generated by the orthogonal matching pursuit (OMP). A critical point of (Pc) is also a critical point of the ℓ_p-penalized least squares (Q_λ) which reformulates (P_c) with the Lagrangian multiplier. The greedy path is a multi-valued function of λ and is formed by a collection of multiple critical paths of (Q_λ).