  Sparse modeling is a powerful framework for data analysis and processing.
Traditionally, encoding in this framework is performed by solving an
L1-regularized linear regression problem, commonly referred to as Lasso or
Basis Pursuit. In this work we combine the sparsity-inducing property of the
Lasso model at the individual feature level, with the block-sparsity property
of the Group Lasso model, where sparse groups of features are jointly encoded,
obtaining a sparsity pattern hierarchically structured. This results in the
Hierarchical Lasso (HiLasso), which shows important practical modeling
advantages. We then extend this approach to the collaborative case, where a set
of simultaneously coded signals share the same sparsity pattern at the higher
(group) level, but not necessarily at the lower (inside the group) level,
obtaining the collaborative HiLasso model (C-HiLasso). Such signals then share
the same active groups, or classes, but not necessarily the same active set.
This model is very well suited for applications such as source identification
and separation. An efficient optimization procedure, which guarantees
convergence to the global optimum, is developed for these new models. The
underlying presentation of the new framework and optimization approach is
complemented with experimental examples and theoretical results regarding
recovery guarantees for the proposed models.
