By Ing. Kleber Loaiza, Estudiante de la Maestría en Optimización Matemática EPN
Fecha seminario: 2026-05-14
We present a second order algorithm, based on orthantwise directions, for solving optimization problems involving the sparsity enhancing l1-norm. The main idea of our method consists in modifying the descent orthantwise directions by using second order information both of the regular term and of the l1-norm. The weak second order information behind the l1-term is incorporated via a partial Huber regularization. One of the main features of our algorithm consists in a faster identification of the active set.