Wednesday, 15:45 - 16:10 h, Room: H 1028


Minh Pham
Alternating linearization for structured regularization problems

Coauthors: Xiaodong Lin, Andrzej Ruszczynski


We adapt the alternating linearization method for proximal decomposition to structured regularization problems, in particular, to the generalized lasso problems. The method is related to two well-known operator splitting methods, the Douglas-Rachford and the Peaceman-Rachford method, but it has descent properties with respect to the objective function. Its convergence mechanism is related to that of bundle methods of nonsmooth optimization. We also discuss implementation for very large problems, with the use of specialized algorithms and sparse data structures. Finally, we present numerical results for several synthetic and real-world examples, including a three-dimensional fused lasso problem, which illustrate the scalability, efficacy, and accuracy of the method.


Talk 2 of the invited session Wed.3.H 1028
"Structured models in sparse optimization" [...]
Cluster 21
"Sparse optimization & compressed sensing" [...]


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