期刊
MATHEMATICAL PROGRAMMING
卷 158, 期 1-2, 页码 575-585出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s10107-015-0946-6
关键词
Simplex; l(1)-Norm ball; Large-scale optimization
类别
资金
- LabEx PERSYVAL-Lab [ANR-11-LABX-0025]
A new algorithm is proposed to project, exactly and in finite time, a vector of arbitrary size onto a simplex or an -norm ball. It can be viewed as a Gauss-Seidel-like variant of Michelot's variable fixing algorithm; that is, the threshold used to fix the variables is updated after each element is read, instead of waiting for a full reading pass over the list of non-fixed elements. This algorithm is empirically demonstrated to be faster than existing methods.
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