KL property of exponent $1/2$ of quadratic functions under nonnegative zero-norm constraints and applications

Abstract

This paper focuses on the quadratic optimization over two classes of nonnegative zero-norm constraints: nonnegative zero-norm sphere constraint and zero-norm simplex constraint, which have important applications in nonnegative sparse eigenvalue problems and sparse portfolio problems, respectively. We establish the KL property of exponent 1/2 for the extended-valued objective function of these nonconvex and nonsmooth optimization problems, and use this crucial property to develop a globally and linearly convergent projection gradient descent (PGD) method. Numerical results are included for nonegative sparse principal component analysis and sparse portfolio problems with synthetic and real data to confirm the theoretical results.

4 figures. arXiv admin note: text overlap with arXiv:1811.04371 We have writen a new parper including most of this article, so we should withdraw it