Variable projection without smoothness

01/19/2016

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by   Aleksandr Aravkin, et al.

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The variable projection technique solves structured optimization problems by completely minimizing over a subset of the variables while iterating over the remaining variables. Over the last 30 years, the technique has been widely used, with empirical and theoretical results demonstrating both greater efficacy and greater stability compared to competing approaches. Classic examples have exploited closed form projections and smoothness of the objective function. We apply the idea in broader settings, where the projection subproblems can be nonsmooth, and can only be solved inexactly by iterative methods. We illustrate the technique on sparse deconvolution and robust machine learning applications. Open source code for nonsmooth variable projection is available through github