Computing the proximal operator of the \ell₁ induced matrix norm

MaRDI QIDQ6340673FDOQ6340673

Authors: Jeremy Cohen 

Publication date: 14 May 2020

Abstract: In this short article, for any matrix $Xinmathbb{R}^{nimesm}$ the proximity operator of two induced norms $|X{|}_1$ and $|X{|}_{infty}$ are derived. Although no close form expression is obtained, an algorithmic procedure is described which costs roughly $mathcalO(nm)$. 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 $max$ function found in Parikh(2014).

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

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