A novel line search method for nonsmooth optimization problems. Yang, Y. & Pesavento, M. In 2015 23rd European Signal Processing Conference (EUSIPCO), pages 1726-1730, Aug, 2015. Paper doi abstract bibtex In this paper, we propose a novel exact/successive line search method for stepsize calculation in iterative algorithms for nonsmooth optimization problems. The proposed approach is to perform line search over a properly constructed differ-entiable function based on the original nonsmooth objective function, and it outperforms state-of-the-art techniques from the perspective of convergence speed, computational complexity and signaling burden. When applied to LASSO, the proposed exact line search is shown, either analytically or numerically, to exhibit several desirable advantages, namely: it is implementable in closed-form, converges fast and is robust with respect to the choice of problem parameters.
@InProceedings{7362679,
author = {Y. Yang and M. Pesavento},
booktitle = {2015 23rd European Signal Processing Conference (EUSIPCO)},
title = {A novel line search method for nonsmooth optimization problems},
year = {2015},
pages = {1726-1730},
abstract = {In this paper, we propose a novel exact/successive line search method for stepsize calculation in iterative algorithms for nonsmooth optimization problems. The proposed approach is to perform line search over a properly constructed differ-entiable function based on the original nonsmooth objective function, and it outperforms state-of-the-art techniques from the perspective of convergence speed, computational complexity and signaling burden. When applied to LASSO, the proposed exact line search is shown, either analytically or numerically, to exhibit several desirable advantages, namely: it is implementable in closed-form, converges fast and is robust with respect to the choice of problem parameters.},
keywords = {computational complexity;iterative methods;optimisation;signal processing;nonsmooth optimization problems;exact-successive line search method;stepsize calculation;iterative algorithms;differ-entiable function;original nonsmooth objective function;convergence speed;computational complexity;signaling burden;LASSO;Convergence;Search problems;Linear programming;Approximation methods;Europe;Iterative methods;Descent Direction Method;Distributed and Parallel Algorithms;LASSO;Line Search;Nondifferentiable Optimization;Successive Convex Approximation},
doi = {10.1109/EUSIPCO.2015.7362679},
issn = {2076-1465},
month = {Aug},
url = {https://www.eurasip.org/proceedings/eusipco/eusipco2015/papers/1570096865.pdf},
}
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