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Second-order orthant-based methods with enriched Hessian information for sparse ℓ<inf>1</inf> -optimization

Abstract:

We present a second order algorithm, based on orthantwise directions, for solving optimization problems involving the sparsity enhancing ℓ1-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 ℓ1-norm. The weak second order information behind the ℓ1-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.