A Highly Efficient Semismooth Newton Augmented Lagrangian Method for Solving Lasso Problems

DOI10.1137/16M1097572zbMath1392.65062arXiv1607.05428MaRDI QIDQ4606653

Defeng Sun, Kim-Chuan Toh, Xudong Li

Publication date: 9 March 2018

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.05428

zbMATH Keywords

Newton's method; semismoothness; augmented Lagrangian; lasso; sparse optimization; metric subregularity

Mathematics Subject Classification ID

90C25: Convex programming

90C06: Large-scale problems in mathematical programming

90C31: Sensitivity, stability, parametric optimization

65F10: Iterative numerical methods for linear systems

Uses Software

• UCI-ml
• LIBSVM
• PDCO
• NESTA
• SPGL1
• FPC_AS
• SDPNAL+
• SLEP
• QSDPNAL