A Second-Order Method for Convex ${\ell }_1$-Regularized Optimization with Active Set Prediction

Nitish Shirish Keskar, Jorge Nocedal, Figen Oztoprak +1

We describe an active-set method for the minimization of an objective function $\varphi$ that is the sum of a smooth convex function and an ${\ell }_1$-regularization term. A distinctive fe…