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Decomposable norm minimization with proximal-gradient homotopy algorithm

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  • Reza Eghbali

    (University of Washington)

  • Maryam Fazel

    (University of Washington)

Abstract

We study the convergence rate of the proximal-gradient homotopy algorithm applied to norm-regularized linear least squares problems, for a general class of norms. The homotopy algorithm reduces the regularization parameter in a series of steps, and uses a proximal-gradient algorithm to solve the problem at each step. Proximal-gradient algorithm has a linear rate of convergence given that the objective function is strongly convex, and the gradient of the smooth component of the objective function is Lipschitz continuous. In many applications, the objective function in this type of problem is not strongly convex, especially when the problem is high-dimensional and regularizers are chosen that induce sparsity or low-dimensionality. We show that if the linear sampling matrix satisfies certain assumptions and the regularizing norm is decomposable, proximal-gradient homotopy algorithm converges with a linear rate even though the objective function is not strongly convex. Our result generalizes results on the linear convergence of homotopy algorithm for $$\ell _1$$ ℓ 1 -regularized least squares problems. Numerical experiments are presented that support the theoretical convergence rate analysis.

Suggested Citation

  • Reza Eghbali & Maryam Fazel, 2017. "Decomposable norm minimization with proximal-gradient homotopy algorithm," Computational Optimization and Applications, Springer, vol. 66(2), pages 345-381, March.
    • Handle: RePEc:spr:coopap:v:66:y:2017:i:2:d:10.1007_s10589-016-9871-8
    DOI: 10.1007/s10589-016-9871-8
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    References listed on IDEAS

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    1. NESTEROV, Yurii, 2012. "Efficiency of coordinate descent methods on huge-scale optimization problems," LIDAM Reprints CORE 2511, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. NESTEROV, Yurii, 2013. "Gradient methods for minimizing composite functions," LIDAM Reprints CORE 2510, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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