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author:

Liut, Yong-jin (Liut, Yong-jin.) [1] (Scholars:刘勇进) | Zhang, Tiqi (Zhang, Tiqi.) [2]

Indexed by:

SCIE

Abstract:

This paper investigates a semismooth Newton based augmented Lagrangian (SSNAL) algorithm for solving equivalent formulation of the general l(1) trend filtering problem. The computational costs of a semismooth Newton (SSN) algorithm for solving the subproblem in the SSNAL algorithm can be substantially reduced by exploiting the second order sparsity of Hessian matrix and some efficient techniques. The global convergence and the asymptotically superlinear local convergence of the SSNAL algorithm are given under mild conditions. Numerical comparisons between the SSNAL algorithm and other state-of-the-art algorithms on real and synthetic data sets validate that our algorithm has superior performance in both robustness and efficiency.

Keyword:

augmented Lagrangian algorithm general l(1) trend filtering semismooth Newton algorithm sparse Hessian

Community:

  • [ 1 ] [Liut, Yong-jin]Fuzhou Univ, Sch Math & Stat, Fuzhou 350108, Peoples R China
  • [ 2 ] [Zhang, Tiqi]Fuzhou Univ, Sch Math & Stat, Fuzhou 350108, Peoples R China

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Source :

PACIFIC JOURNAL OF OPTIMIZATION

ISSN: 1348-9151

Year: 2023

Issue: 2

Volume: 19

Page: 187-204

0 . 4

JCR@2023

0 . 4 0 0

JCR@2023

ESI Discipline: ENGINEERING;

ESI HC Threshold:35

JCR Journal Grade:4

CAS Journal Grade:4

Cited Count:

WoS CC Cited Count: 1

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 2

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