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Equivalent Lipschitz surrogates for zero-norm and rank optimization problems

Author

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  • Yulan Liu

    (GuangDong University of Technology)

  • Shujun Bi

    (South China University of Technology)

  • Shaohua Pan

    (South China University of Technology)

Abstract

This paper proposes a mechanism to produce equivalent Lipschitz surrogates for zero-norm and rank optimization problems by means of the global exact penalty for their equivalent mathematical programs with an equilibrium constraint (MPECs). Specifically, we reformulate these combinatorial problems as equivalent MPECs by the variational characterization of the zero-norm and rank function, show that their penalized problems, yielded by moving the equilibrium constraint into the objective, are the global exact penalization, and obtain the equivalent Lipschitz surrogates by eliminating the dual variable in the global exact penalty. These surrogates, including the popular SCAD function in statistics, are also difference of two convex functions (D.C.) if the function and constraint set involved in zero-norm and rank optimization problems are convex. We illustrate an application by designing a multi-stage convex relaxation approach to the rank plus zero-norm regularized minimization problem.

Suggested Citation

  • Yulan Liu & Shujun Bi & Shaohua Pan, 2018. "Equivalent Lipschitz surrogates for zero-norm and rank optimization problems," Journal of Global Optimization, Springer, vol. 72(4), pages 679-704, December.
    • Handle: RePEc:spr:jglopt:v:72:y:2018:i:4:d:10.1007_s10898-018-0675-5
    DOI: 10.1007/s10898-018-0675-5
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    References listed on IDEAS

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    Cited by:

    1. Dongdong Zhang & Shaohua Pan & Shujun Bi & Defeng Sun, 2023. "Zero-norm regularized problems: equivalent surrogates, proximal MM method and statistical error bound," Computational Optimization and Applications, Springer, vol. 86(2), pages 627-667, November.
    2. Wenxing Zhu & Huating Huang & Lanfan Jiang & Jianli Chen, 2022. "Weighted thresholding homotopy method for sparsity constrained optimization," Journal of Combinatorial Optimization, Springer, vol. 44(3), pages 1924-1952, October.
    3. Wenxing Zhu & Huating Huang & Lanfan Jiang & Jianli Chen, 0. "Weighted thresholding homotopy method for sparsity constrained optimization," Journal of Combinatorial Optimization, Springer, vol. 0, pages 1-29.
    4. Wanyou Cheng & Zixin Chen & Qingjie Hu, 2020. "An active set Barzilar–Borwein algorithm for $$l_{0}$$l0 regularized optimization," Journal of Global Optimization, Springer, vol. 76(4), pages 769-791, April.
    5. Yitian Qian & Shaohua Pan & Yulan Liu, 2023. "Calmness of partial perturbation to composite rank constraint systems and its applications," Journal of Global Optimization, Springer, vol. 85(4), pages 867-889, April.
    6. April Sagan & Xin Shen & John E. Mitchell, 2020. "Two Relaxation Methods for Rank Minimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 186(3), pages 806-825, September.
    7. Zhang, Shuang & Han, Le, 2023. "Robust tensor recovery with nonconvex and nonsmooth regularization," Applied Mathematics and Computation, Elsevier, vol. 438(C).

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