Accelerated iterative hard thresholding algorithm for l0 regularized regression problem

In this paper, we propose an accelerated iterative hard thresholding algorithm for solving the l 0 regularized box constrained regression problem. We substantiate that there exists a threshold, if the extrapolation coefficients are chosen below this threshold, the proposed algorithm is equivalent to...

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Vydané v:Journal of global optimization Ročník 76; číslo 4; s. 819 - 840
Hlavní autori: Wu, Fan, Bian, Wei
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: New York Springer US 01.04.2020
Springer Nature B.V
Predmet:
Algorithms
Computer Science
Convergence
Iterative methods
Lower bounds
Mathematics
Mathematics and Statistics
Operations Research/Decision Theory
Optimization
Real Functions
R-linear convergence
Sparse regression problem
Accelerated iterative hard thresholding algorithm
regularization
ISSN:0925-5001, 1573-2916
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Shrnutí:In this paper, we propose an accelerated iterative hard thresholding algorithm for solving the l 0 regularized box constrained regression problem. We substantiate that there exists a threshold, if the extrapolation coefficients are chosen below this threshold, the proposed algorithm is equivalent to the accelerated proximal gradient algorithm for solving a corresponding constrained convex problem after finite iterations. Under some proper conditions, we get that the sequence generated by the proposed algorithm is convergent to a local minimizer of the l 0 regularized problem, which satisfies a desired lower bound. Moreover, when the data fitting function satisfies the error bound condition, we prove that both the iterate sequence and the corresponding sequence of objective function values are R-linearly convergent. Finally, we use several numerical experiments to verify our theoretical results.
Bibliografia:ObjectType-Article-1
SourceType-Scholarly Journals-1
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content type line 14
ISSN:0925-5001
1573-2916
DOI:10.1007/s10898-019-00826-6