IMRO: A Proximal Quasi-Newton Method for Solving $\ell_1$-Regularized Least Squares Problems

DOI10.1137/140966587zbMath1365.90202arXiv1401.4220OpenAlexW3099265058MaRDI QIDQ5737721

Sahar Karimi, Stephen A. Vavasis

Publication date: 30 May 2017

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.4220

zbMATH Keywords

convex optimizationquasi-Newton methodssparse recoveryproximal methodsminimization of composite functions\(\ell_1\)-regularized least squares problembasis pursuit denoising problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Applications of mathematical programming (90C90) Nonlinear programming (90C30) Newton-type methods (49M15) Methods of quasi-Newton type (90C53) Numerical methods based on nonlinear programming (49M37)

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An inexact successive quadratic approximation method for a class of difference-of-convex optimization problems, A flexible coordinate descent method, A New Homotopy Proximal Variable-Metric Framework for Composite Convex Minimization, An active set Newton-CG method for \(\ell_1\) optimization, Proximal variable metric method with spectral diagonal update for large scale sparse optimization, A Riemannian Proximal Newton Method, Inexact proximal stochastic second-order methods for nonconvex composite optimization, Stochastic proximal quasi-Newton methods for non-convex composite optimization, IMRO, On Quasi-Newton Forward-Backward Splitting: Proximal Calculus and Convergence, Adaptive FISTA for Nonconvex Optimization, A fast conjugate gradient algorithm with active set prediction for ℓ₁ optimization

Uses Software

• NNLS
• LBFGS-B
• NESTA
• UNLocBoX
• SPGL1
• ParNes
• FPC_AS
• RecPF
• TFOCS
• l1_ls
• TwIST
• SpaRSA
• FPC
• PNOPT
• L1TestPack

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