G-2022-12
Computing a sparse projection into a box
BibTeX reference
We describe a procedure to compute a projection of w∈ℝn
into the intersection of the so-called zero-norm ball kB0
of radius k
, i.e., the set of k
-sparse vectors, with a box centered at a point of kB0
.
The need for such projection arises in the context of certain trust-region methods for nonsmooth regularized optimization.
Although the set into which we wish to project is nonconvex, we show that a solution may be found in O(nlog(n))
operations.
We describe our Julia implementation and illustrate our procedure in the context of two trust-region methods for nonsmooth regularized optimization.
Published April 2022 , 15 pages
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G2212.pdf (600 KB)