Second-order orthant-based methods with enriched Hessian information for sparse -optimization

Abstract:

We present a second order algorithm, based on orthantwise directions, for solving optimization problems involving the sparsity enhancing -norm. The main idea of our method consists in modifying the descent orthantwise directions by using second order information both of the regular term and (in weak sense) of the -norm. The weak second order information behind the -term is incorporated via a partial Huber regularization. One of the main features of our algorithm consists in a faster identification of the active set. We also prove that a reduced version of our method is equivalent to a semismooth Newton algorithm applied to the optimality condition, under a specific choice of the algorithm parameters. We present several computational experiments to show the efficiency of our approach compared to other state-of-the-art algorithms.

Año de publicación:

2017

Keywords:

Fuente:

google