Group sparsity via linear-time projection

ID
TR-2008-09
Authors
Ewout van den Berg, Mark Schmidt, Michael P. Friedlander and Kevin Murphy
Publishing date
June 06, 2008
Length
11 pages
Abstract
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