Xudong Li

A block symmetric Gauss-Seidel decomposition theorem for convex composite quadratic programming and its applications

  • Xudong Li
  • Defeng Sun
  • Kim-Chuan Toh
    • Categories Nonsmooth Optimization, Quadratic Programming Tags , ,

    For a symmetric positive semidefinite linear system of equations $\mathcal{Q} {\bf x} = {\bf b}$, where ${\bf x} = (x_1,\ldots,x_s)$ is partitioned into $s$ blocks, with $s \geq 2$, we show that each cycle of the classical block symmetric Gauss-Seidel (block sGS) method exactly solves the associated quadratic programming (QP) problem but added with an … Read more

    A highly efficient semismooth Newton augmented Lagrangian method for solving Lasso problems

  • Xudong Li
  • Defeng Sun
  • Kim-Chuan Toh
    • Categories Nonsmooth Optimization Tags , , , ,

    We develop a fast and robust algorithm for solving large scale convex composite optimization models with an emphasis on the $\ell_1$-regularized least squares regression (Lasso) problems. Despite the fact that there exist a large number of solvers in the literature for the Lasso problems, we found that no solver can efficiently handle difficult large scale … Read more