Jan Harold Mercado Alcantara

Accelerated Projected Gradient Algorithms for Sparsity Constrained Optimization Problems

We consider the projected gradient algorithm for the nonconvex best subset selection problem that minimizes a given empirical loss function under an $\ell_0$-norm constraint. Through decomposing the feasible set of the given sparsity constraint as a finite union of linear subspaces, we present two a…