Computing a Sparse Projection into a Box

04/11/2022

∙

by   Dominique Orban, et al.

∙

0

∙

share

We describe a procedure to compute a projection of w ∈ℝ^n into the intersection of the so-called zero-norm ball k 𝔹_0 of radius k, i.e., the set of k-sparse vectors, with a box centered at a point of k 𝔹_0. The need for such projection arises in the context of certain trust-region methods for nonsmooth regularized optimization. Although the set into which we wish to project is nonconvex, we show that a solution may be found in O(n log(n)) operations. We describe our Julia implementation and illustrate our procedure in the context of two trust-region methods for nonsmooth regularized optimization.