Weighted Thresholding Homotopy Method for Sparsity Constrained Optimization

Weighted or reweighted strategies have not been considered for sparsity constrained optimization. In this paper, we reformulate the sparsity constraint as an equivalent weighted l1-norm constraint in the sparsity constrained optimization problem. To solve the reformulated problem, we investigate the problem in the Lagrange dual framework, and prove that the strong duality property holds. Then … Read more