Group sparsity via linear-time projection

TitleGroup sparsity via linear-time projection
Publication TypeReport
Year of Publication2008
AuthorsEwout van den Berg, Mark Schmidt, Michael P. Friedlander, K. Murphy
Document NumberTR-2008-09
InstitutionUBC - Department of Computer Science
KeywordsOptimization, SLIM

We present an efficient spectral projected-gradient algorithm for optimization subject to a group one-norm constraint. Our approach is based on a novel linear-time algorithm for Euclidean projection onto the one- and group one-norm constraints. Numerical experiments on large data sets suggest that the proposed method is substantially more efficient and scalable than existing methods.

Citation Keyvandenberg08gsv