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Iterative projection gradient hard thresholding pursuit algorithm for sparse optimization
Author(s): 
Pages: 1-14
Year: Issue:  1
Journal: Operations Research Transactions

Keyword:  稀疏约束整数规划梯度硬阈值追踪迭代投影;
Abstract: 梯度硬阂值追踪算法是求解稀疏优化问题的有效算法之一.考虑到算法中投影对最优解的影响,提出一种比贪婪策略更好的投影算法是很有必要的.针对一般的稀疏约束优化问题,利用整数规划提出一种迭代投影策略,将梯度投影算法中的投影作为一个子问题求解.通过迭代求解该子问题得到投影的指标集,并以此继续求解原问题,以提高梯度硬阈值追踪算法的计算效果.证明了算法的收敛性,并通过数值实例验证了算法的有效性.
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