Newton method for ℓ0-regularized optimization
File(s)Newton_l0_regularization.pdf (785.38 KB)
Accepted version
Author(s)
Zhou, Shenglong
Pan, Lili
Xiu, Naihua
Type
Journal Article
Abstract
As a tractable approach, regularization is frequently adopted in sparse optimization. This gives rise to regularized optimization, which aims to minimize the ℓ0 norm or its continuous surrogates that characterize the sparsity. From the continuity of surrogates to the discreteness of the ℓ0 norm, the most challenging model is the ℓ0-regularized optimization. There is an impressive body of work on the development of numerical algorithms to overcome this challenge. However, most of the developed methods only ensure that either the (sub)sequence converges to a stationary point from the deterministic optimization perspective or that the distance between each iteration and any given sparse reference point is bounded by an error bound in the sense of probability. In this paper, we develop a Newton-type method for the ℓ0-regularized optimization and prove that the generated sequence converges to a stationary point globally and quadratically under the standard assumptions, theoretically explaining that our method can perform surprisingly well.
Date Issued
2021-03-24
Date Acceptance
2021-02-07
Citation
Numerical Algorithms, 2021, 88, pp.1541-1570
ISSN
1017-1398
Publisher
Springer Science and Business Media LLC
Start Page
1541
End Page
1570
Journal / Book Title
Numerical Algorithms
Volume
88
Copyright Statement
©The Author(s), under exclusive licence to Springer Science+Business Media, LLC part of Springer Nature 2021. The final publication is available at Springer via https://link.springer.com/article/10.1007/s11075-021-01085-x
Identifier
https://link.springer.com/article/10.1007%2Fs11075-021-01085-x
Subjects
math.OC
math.OC
Numerical & Computational Mathematics
0102 Applied Mathematics
0103 Numerical and Computational Mathematics
0802 Computation Theory and Mathematics
Publication Status
Published
Date Publish Online
2021-03-24