Papers › Minimization over the l1-ball using an active-set non-monotone projected gradient

Minimization over the l1-ball using an active-set non-monotone projected gradient

31 Jul 2021arXiv:2108.00237links table onlyarchive 2025-07-28

Andrea Cristofari, Marianna De Santis, Stefano Lucidi, Francesco Rinaldi

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The l1-ball is a nicely structured feasible set that is widely used in many fields (e.g., machine learning, statistics and signal analysis) to enforce some sparsity in the model solutions. In this paper, we devise an active-set strategy for efficiently dealing with minimization problems over the l1-ball and embed it into a tailored algorithmic scheme that makes use of a non-monotone first-order approach to explore the given subspace at each iteration. We prove global convergence to stationary points. Finally, we report numerical experiments, on two different classes of instances, showing the effectiveness of the algorithm.

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