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A reduced-space algorithm for minimizing \(\ell_1\)-regularized convex functions. (English) Zbl 1369.90103

MSC:
90C06 Large-scale problems in mathematical programming
90C25 Convex programming
90C30 Nonlinear programming
90C55 Methods of successive quadratic programming type
90C90 Applications of mathematical programming
49J52 Nonsmooth analysis
49M37 Numerical methods based on nonlinear programming
62M20 Inference from stochastic processes and prediction
65K05 Numerical mathematical programming methods
Software:
CONV_QP; GPDT; LBFGS-B; TRON
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References:
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