proximal gradient method

A Proximal-Gradient Homotopy Method for the Sparse Least-Squares Problem

  • Lin Xiao
  • Tong Zhang
    • Categories Convex and Nonsmooth Optimization Tags , , ,

    We consider solving the $\ell_1$-regularized least-squares ($\ell_1$-LS) problem in the context of sparse recovery, for applications such as compressed sensing. The standard proximal gradient method, also known as iterative soft-thresholding when applied to this problem, has low computational cost per iteration but a rather slow convergence rate. Nevertheless, when the solution is sparse, it often … Read more

    Trace Norm Regularization: Reformulations, Algorithms, and Multi-task Learning

  • Shuiwang Ji
  • Ting Kei Pong
  • Paul Tseng
  • Jieping Ye
    • Categories Convex Optimization, Data-Mining, Semi-definite Programming Tags , , , , , ,

    We consider a recently proposed optimization formulation of multi-task learning based on trace norm regularized least squares. While this problem may be formulated as a semidefinite program (SDP), its size is beyond general SDP solvers. Previous solution approaches apply proximal gradient methods to solve the primal problem. We derive new primal and dual reformulations of … Read more