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author:

Lin, L. (Lin, L..) [1] | Liu, Y.-J. (Liu, Y.-J..) [2] (Scholars:刘勇进)

Indexed by:

Scopus

Abstract:

This paper is concerned with the ℓ1,∞-norm ball constrained multi-task learning problem, which has received extensive attention in many research areas such as machine learning, cognitive neuroscience, and signal processing. To address the challenges of solving large-scale multi-task Lasso problems, this paper develops an inexact semismooth Newton-based augmented Lagrangian (Ssnal) algorithm. When solving the inner problems in the Ssnal algorithm, the semismooth Newton (Ssn) algorithm with superlinear or even quadratic convergence is applied. Theoretically, this paper presents the global and asymptotically superlinear local convergence of the Ssnal algorithm under standard conditions. Computationally, we derive an efficient procedure to construct the generalized Jacobian of the projector onto ℓ1,∞-norm ball, which is an important component of the Ssnal algorithm, making the computational cost in the Ssn algorithm very cheap. Comprehensive numerical experiments on the multi-task Lasso problems demonstrate that the Ssnal algorithm is more efficient and robust than several existing state-of-the-art first-order algorithms.  © 2023 World Scientific Publishing Co. & Operational Research Society of Singapore. World Scientific Publishing Co. Operational Research Society of Singapore.

Keyword:

augmented Lagrangian algorithm generalized Jacobian Multi-task Lasso problem semismooth Newton algorithm

Community:

  • [ 1 ] [Lin L.]School of Mathematics and Statistics, Fuzhou University, Fuzhou, 350108, China
  • [ 2 ] [Liu Y.-J.]School of Mathematics and Statistics, Fuzhou University, Fuzhou, 350108, China
  • [ 3 ] [Liu Y.-J.]Center for Applied Mathematics of Fujian Province, School of Mathematics and Statistics, Fuzhou University, Fuzhou, 350108, China

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Source :

Asia-Pacific Journal of Operational Research

ISSN: 0217-5959

Year: 2023

Issue: 3

Volume: 41

1 . 1

JCR@2023

1 . 1 0 0

JCR@2023

JCR Journal Grade:4

CAS Journal Grade:4

Cited Count:

WoS CC Cited Count: 0

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 1

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