An Inexact Projected Regularized Newton Method for Fused Zero-norms Regularization Problems

Abstract: We are concerned with structured $\ell_0$-norms regularization problems, with a twice continuously differentiable loss function and a box constraint. This class of problems have a wide range of applications in statistics, machine learning and image processing. To the best of our knowledge, there is no effective algorithm in the literature for solving them. In this paper, we first obtain a polynomial-time algorithm to find a point in the proximal mapping of the fused $\ell_0$-norms with a box constraint based on dynamic programming principle. We then propose a hybrid algorithm of proximal gradient method and inexact projected regularized Newton method to solve structured $\ell_0$-norms regularization problems. The whole sequence generated by the algorithm is shown to be convergent by virtue of a non-degeneracy condition, a curvature condition and a Kurdyka-{\L}ojasiewicz property. A superlinear convergence rate of the iterates is established under a locally H\"{o}lderian error bound condition on a second-order stationary point set, without requiring the local optimality of the limit point. Finally, numerical experiments are conducted to highlight the features of our considered model, and the superiority of our proposed algorithm.