In this paper, we consider the optimization problem of minimizing a continuously differentiable function subject to both convex constraints and sparsity constraints. By exploiting a mixed-integer reformulation from the literature, we define a necessary optimality condition based on a tailored neighborhood that allows to take into account potential changes of the support set. We then propose an algorithmic framework to tackle the considered class of problems and prove its convergence to points satisfying the newly introduced concept of stationarity. We further show that, by suitably choosing the neighborhood, other well-known optimality conditions from the literature can be recovered at the limit points of the sequence produced by the algorithm. Finally, we analyze the computational impact of the neighborhood size within our framework and in the comparison with some state-of-the-art algorithms, namely, the Penalty Decomposition method and the Greedy Sparse-Simplex method. The algorithms have been tested using a benchmark related to sparse logistic regression problems.

A Unifying Framework for Sparsity-Constrained Optimization / Lapucci, Matteo; Levato, Tommaso; Rinaldi, Francesco; Sciandrone, Marco. - In: JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS. - ISSN 0022-3239. - ELETTRONICO. - (2023), pp. 0-0. [10.1007/s10957-023-02306-0]

A Unifying Framework for Sparsity-Constrained Optimization

Lapucci, Matteo
;
Levato, Tommaso;Rinaldi, Francesco;Sciandrone, Marco
2023

Abstract

In this paper, we consider the optimization problem of minimizing a continuously differentiable function subject to both convex constraints and sparsity constraints. By exploiting a mixed-integer reformulation from the literature, we define a necessary optimality condition based on a tailored neighborhood that allows to take into account potential changes of the support set. We then propose an algorithmic framework to tackle the considered class of problems and prove its convergence to points satisfying the newly introduced concept of stationarity. We further show that, by suitably choosing the neighborhood, other well-known optimality conditions from the literature can be recovered at the limit points of the sequence produced by the algorithm. Finally, we analyze the computational impact of the neighborhood size within our framework and in the comparison with some state-of-the-art algorithms, namely, the Penalty Decomposition method and the Greedy Sparse-Simplex method. The algorithms have been tested using a benchmark related to sparse logistic regression problems.
2023
0
0
Lapucci, Matteo; Levato, Tommaso; Rinaldi, Francesco; Sciandrone, Marco
File in questo prodotto:
File Dimensione Formato  
s10957-023-02306-0.pdf

accesso aperto

Tipologia: Pdf editoriale (Version of record)
Licenza: Open Access
Dimensione 663.57 kB
Formato Adobe PDF
663.57 kB Adobe PDF

I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificatore per citare o creare un link a questa risorsa: https://hdl.handle.net/2158/1330271
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact