Computing the proximal operator of the \ell₁ induced matrix norm

Publication date 14 May 2020

Has companion code repository https://github.com/cohenjer/Tensor_codes/tree/master/Dictionary-based_decomposition/ProxOp

Abstract: In this short article, for any matrix

X i n m a t h b b R^{n i m e s m}

the proximity operator of two induced norms

| X |_{1}

and

| X |_{i n f t y}

are derived. Although no close form expression is obtained, an algorithmic procedure is described which costs roughly

m a t h c a l O (n m)

. This algorithm relies on a bisection on a real parameter derived from the Karush-Kuhn-Tucker conditions, following the proof idea of the proximal operator of the

m a x

function found in Parikh(2014).

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