A class of diagonal quasi-Newton penalty decomposition algorithms for sparse bound-constrained nonconvex optimization
This paper discusses an improved quasi-Newton penalty decomposition algorithm for the cardinality bound-constrained optimization problems whose simple bounds on the variables are assumed to be finite. Until an approximate stationary point is found, this algorithm approximates the solutions of a sequence of penalty subproblems by a two-block decomposition scheme. This scheme finds an approximate solution … Read more