SOR‐ and Jacobi‐type iterative methods for solving l 1 - l 2 problems by way of Fenchel duality

SOR‐ and Jacobi‐type iterative methods for solving l 1 - l 2 problems by way of Fenchel duality

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Article ID: iaor20123488
Volume: 6
Issue: 4
Start Page Number: 679
End Page Number: 686
Publication Date: Apr 2012
Journal: Optimization Letters
Authors:
Keywords: Lagrangian function
Abstract:

We present an SOR‐type algorithm and a Jacobi‐type algorithm that can effectively be applied to the 𝓁 1 − 𝓁 2 problem by exploiting its special structure. The algorithms are globally convergent and can be implemented in a particularly simple manner. Relations with coordinate minimization methods are discussed.

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