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A family of second-order methods for convex $$\ell _1$$ -regularized optimization.
- Source :
- Mathematical Programming; Sep2016, Vol. 159 Issue 1/2, p435-467, 33p
- Publication Year :
- 2016
-
Abstract
- This paper is concerned with the minimization of an objective that is the sum of a convex function f and an $$\ell _1$$ regularization term. Our interest is in active-set methods that incorporate second-order information about the function f to accelerate convergence. We describe a semismooth Newton framework that can be used to generate a variety of second-order methods, including block active set methods, orthant-based methods and a second-order iterative soft-thresholding method. The paper proposes a new active set method that performs multiple changes in the active manifold estimate at every iteration, and employs a mechanism for correcting these estimates, when needed. This corrective mechanism is also evaluated in an orthant-based method. Numerical tests comparing the performance of three active set methods are presented. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00255610
- Volume :
- 159
- Issue :
- 1/2
- Database :
- Complementary Index
- Journal :
- Mathematical Programming
- Publication Type :
- Academic Journal
- Accession number :
- 117379740
- Full Text :
- https://doi.org/10.1007/s10107-015-0965-3