Trust-region interior-point method for large sparse l1 optimization

Authors:
L. Luksan;C. Matonoha;J. Vlcek
Affiliations:
Academy of Sciences of the Czech Republic, Institute of Computer Science, Czech Republic,Technical University of Liberec, Liberec, Czech Republic;Academy of Sciences of the Czech Republic, Institute of Computer Science, Czech Republic;Academy of Sciences of the Czech Republic, Institute of Computer Science, Czech Republic
Venue:
Optimization Methods & Software
Year:
2007

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Abstract

In this article, we propose an interior-point method for large sparse l1 optimization. After a short introduction, the complete algorithm is introduced and some implementation details are given. We prove that this algorithm is globally convergent under standard mild assumptions. Thus, relatively difficult l1 optimization problems can be solved successfully. The results of computational experiments given in this article confirm efficiency and robustness of the proposed method.