Inexact Proximal-Gradient Methods with Support Identification

\(\) We consider the proximal-gradient method for minimizing an objective function that is the sum of a smooth function and a non-smooth convex function. A feature that distinguishes our work from most in the literature is that we assume that the associated proximal operator does not admit a closed-form solution. To address this challenge, we … Read more

On Integer and MPCC Representability of Affine Sparsity

In addition to sparsity, practitioners of statistics and machine learning often wish to promote additional structures in their variable selection process to incorporate prior knowledge. Borrowing the modeling power of linear systems with binary variables, many of such structures can be faithfully modeled as so-called affine sparsity constraints (ASC). In this note we study conditions … Read more

Structured Sparsity via Alternating Direction Methods

We consider a class of sparse learning problems in high dimensional feature space regularized by a structured sparsity-inducing norm which incorporates prior knowledge of the group structure of the features. Such problems often pose a considerable challenge to optimization algorithms due to the non-smoothness and non-separability of the regularization term. In this paper, we focus … Read more