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G-2022-12

Computing a sparse projection into a box

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We describe a procedure to compute a projection of wn 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.

, 15 pages

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G2212.pdf (600 KB)