prunAdag: an adaptive pruning-aware gradient method

A pruning-aware adaptive gradient method is proposed which classifies the variables in two sets before updating them using different strategies. This technique extends the “relevant/irrelevant" approach of Ding et al. (Adv Neural Inf Process Syst 32, 2019) and Zimmer et al. (Mathematical optimization for machine learning: proceedings of the MATH+ thematic Einstein semester 2023, 2025) and allows a posteriori sparsification of the solution of model parameter fitting problems. The new method is proved to be convergent with a global rate of decrease of the averaged gradient’s norm of the form. Numerical experiments on several applications show that it is competitive with existing pruning-aware Frank-Wolfe algorithms, see e.g. Zimmer et al. (Mathematical optimization for machine learning: proceedings of the MATH+ thematic Einstein semester 2023, 2025).