A Reduced-Space Algorithm for Minimizing $\ell_1$-Regularized Convex Functions

DOI10.1137/16M1062259zbMath1369.90103arXiv1602.07018OpenAlexW2962929848MaRDI QIDQ5348467

Tianyi Chen, Daniel P. Robinson, Frank E. Curtis

Publication date: 18 August 2017

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

Full work available at URL: https://arxiv.org/abs/1602.07018

zbMATH Keywords

convex optimizationnonlinear optimizationsparse optimizationactive-set methodssubspace minimizationmodel predictionreduced-space methods

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Numerical mathematical programming methods (65K05) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Applications of mathematical programming (90C90) Nonlinear programming (90C30) Nonsmooth analysis (49J52) Numerical methods based on nonlinear programming (49M37) Methods of successive quadratic programming type (90C55)

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A Subspace Acceleration Method for Minimization Involving a Group Sparsity-Inducing Regularizer, An active set Newton-CG method for \(\ell_1\) optimization, Accelerating block coordinate descent methods with identification strategies, An inexact quasi-Newton algorithm for large-scale \(\ell_1\) optimization with box constraints, On the stationarity for nonlinear optimization problems with polyhedral constraints, A subspace-accelerated split Bregman method for sparse data recovery with joint \(\ell_1\)-type regularizers, FaRSA for ℓ₁-regularized convex optimization: local convergence and numerical experience, An active set Barzilar-Borwein algorithm for \(l_0\) regularized optimization, A fast conjugate gradient algorithm with active set prediction for ℓ₁ optimization, A Dimension Reduction Technique for Large-Scale Structured Sparse Optimization Problems with Application to Convex Clustering

Uses Software

• TRON
• CONV_QP
• GPDT
• LBFGS-B

Cites Work

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