G-2022-12
Computing a sparse projection into a box
BibTeX reference
We describe a procedure to compute a projection of \(w \in ℝ^n\)
into the intersection of the so-called zero-norm ball \(k B_0\)
of radius \(k\)
, i.e., the set of \(k\)
-sparse vectors, with a box centered at a point of \(k B_0\)
.
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 \(O(n \log(n))\)
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
Research Axis
Research application
Document
G2212.pdf (600 KB)