A dimension reduction technique for large-scale structured sparse optimization problems with application to convex clustering
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Abstract: In this paper, we propose a novel adaptive sieving (AS) technique and an enhanced AS (EAS) technique, which are solver independent and could accelerate optimization algorithms for solving large scale convex optimization problems with intrinsic structured sparsity. We establish the finite convergence property of the AS technique and the EAS technique with inexact solutions of the reduced subproblems. As an important application, we apply the AS technique and the EAS technique on the convex clustering model, which could accelerate the state-of-the-art algorithm SSNAL by more than 7 times and the algorithm ADMM by more than 14 times.
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Cited in
(6)- A dual reformulation and solution framework for regularized convex clustering problems
- A Corrected Inexact Proximal Augmented Lagrangian Method with a Relative Error Criterion for a Class of Group-Quadratic Regularized Optimal Transport Problems
- An efficient sieving-based secant method for sparse optimization problems with least-squares constraints
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