Related papers: Fast sparse optimization via adaptive shrinkage
The sparse group Lasso is a widely used statistical model which encourages the sparsity both on a group and within the group level. In this paper, we develop an efficient augmented Lagrangian method for large-scale non-overlapping sparse…
We formulate the sparse classification problem of $n$ samples with $p$ features as a binary convex optimization problem and propose a cutting-plane algorithm to solve it exactly. For sparse logistic regression and sparse SVM, our algorithm…
We provide another framework of iterative algorithms based on thresholding, feedback and null space tuning for sparse signal recovery arising in sparse representations and compressed sensing. Several thresholding algorithms with various…
Iterative shrinkage/thresholding algorithm (ISTA) is a well-studied method for finding sparse solutions to ill-posed inverse problems. In this letter, we present a data-driven scheme for learning optimal thresholding functions for ISTA. The…
In high dimensional settings, sparse structures are crucial for efficiency, both in term of memory, computation and performance. It is customary to consider $\ell_1$ penalty to enforce sparsity in such scenarios. Sparsity enforcing methods,…
In this paper, we propose an adaptive sieving (AS) strategy for solving general sparse machine learning models by effectively exploring the intrinsic sparsity of the solutions, wherein only a sequence of reduced problems with much smaller…
In this paper we analyze several inexact fast augmented Lagrangian methods for solving linearly constrained convex optimization problems. Mainly, our methods rely on the combination of excessive-gap-like smoothing technique developed in…
This paper provides a new way of developing the fast iterative shrinkage/thresholding algorithm (FISTA) that is widely used for minimizing composite convex functions with a nonsmooth term such as the $\ell_1$ regularizer. In particular,…
Finding the sparset solution of an underdetermined system of linear equations $y=Ax$ has attracted considerable attention in recent years. Among a large number of algorithms, iterative thresholding algorithms are recognized as one of the…
The goal of Sparse Convex Optimization is to optimize a convex function $f$ under a sparsity constraint $s\leq s^*\gamma$, where $s^*$ is the target number of non-zero entries in a feasible solution (sparsity) and $\gamma\geq 1$ is an…
Sparse learning is a very important tool for mining useful information and patterns from high dimensional data. Non-convex non-smooth regularized learning problems play essential roles in sparse learning, and have drawn extensive attentions…
We propose a stochastic variance reduced optimization algorithm for solving sparse learning problems with cardinality constraints. Sufficient conditions are provided, under which the proposed algorithm enjoys strong linear convergence…
In this paper, we revisit the class of iterative shrinkage-thresholding algorithms (ISTA) for solving the linear inverse problem with sparse representation, which arises in signal and image processing. It is shown in the numerical…
The high-dimensional rank lasso (hdr lasso) model is an efficient approach to deal with high-dimensional data analysis. It was proposed as a tuning-free robust approach for the high-dimensional regression and was demonstrated to enjoy…
In this paper, we consider an LQR design problem for distributed control systems. For large-scale distributed systems, finding a solution might be computationally demanding due to communications among agents. To this aim, we deal with LQR…
This paper addresses the task of estimating a covariance matrix under a patternless sparsity assumption. In contrast to existing approaches based on thresholding or shrinkage penalties, we propose a likelihood-based method that regularizes…
The primary goal of this paper is to provide an efficient solution algorithm based on the augmented Lagrangian framework for optimization problems with a stochastic objective function and deterministic constraints. Our main contribution is…
The goal of this paper is to achieve a computational model and corresponding efficient algorithm for obtaining a sparse representation of the fitting surface to the given scattered data. The basic idea of the model is to utilize the…
We consider a discrete optimization formulation for learning sparse classifiers, where the outcome depends upon a linear combination of a small subset of features. Recent work has shown that mixed integer programming (MIP) can be used to…
Sparsity-constrained optimization underlies many problems in signal processing, statistics, and machine learning. State-of-the-art hard-thresholding (HT) algorithms rely on an appropriately selected continuous step-size parameter to ensure…