Laboratory of Structural Methods of Data Analysis in Predictive
Modeling Moscow Institute of Physics and Technology
ENG
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On first-order algorithms for L1/nuclear norm minimization
In the past decade, problems related to l1/nuclear norm minimization have attracted much attention in the signal processing, machine learning and optimization communities. In this paper, devoted to 1/nuclear norm minimization as ‘optimization beasts’, we give a detailed description of two attractive first-order optimization techniques for solving problems of this type. The first one, aimed primarily at lasso-type problems, comprises fast gradient methods applied to composite minimization formulations. The second approach, aimed at Dantzig-selector-type problems, utilizes saddle-point first-order algorithms and reformulation of the problem of interest as a generalized bilinear saddle-point problem. For both approaches, we give complete and detailed complexity analyses and discuss the application domains.

Авторы: Nemirovski Arkadi , Nesterov Yurii

Дата: 16 ноября 2014

Статус: опубликована

Журнал: Acta Numerica

Страницы: 1–67

Год: 2013

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