Nonconvex and nonsmooth sparse optimization via adaptively iterative reweighted methods
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Publication:2052389
DOI10.1007/S10898-021-01093-0zbMATH Open1481.90267arXiv1810.10167OpenAlexW3202023649MaRDI QIDQ2052389FDOQ2052389
Authors: Hao Wang, Fan Zhang, Yuanming Shi, Yaohua Hu 
Publication date: 26 November 2021
Published in: Journal of Global Optimization (Search for Journal in Brave)
Abstract: We propose a general formulation of nonconvex and nonsmooth sparse optimization problems with convex set constraint, which can take into account most existing types of nonconvex sparsity-inducing terms, bringing strong applicability to a wide range of applications. We design a general algorithmic framework of iteratively reweighted algorithms for solving the proposed nonconvex and nonsmooth sparse optimization problems, which solves a sequence of weighted convex regularization problems with adaptively updated weights. First-order optimality condition is derived and global convergence results are provided under loose assumptions, making our theoretical results a practical tool for analyzing a family of various reweighted algorithms. The effectiveness and efficiency of our proposed formulation and the algorithms are demonstrated in numerical experiments on various sparse optimization problems.
Full work available at URL: https://arxiv.org/abs/1810.10167
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- Joint sparse optimization: lower-order regularization method and application in cell fate conversion
- Adaptive regularization minimization algorithms with nonsmooth norms
- On choosing initial values of iteratively reweighted \(\ell_1\) algorithms for the piece-wise exponential penalty
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