Sparse Convex Optimization via Adaptively Regularized Hard Thresholding

Kyriakos Axiotis, Maxim Sviridenko

Abstract: The goal of Sparse Convex Optimization is to optimize a convex function $f$ under a sparsity constraint $s\leq s^*\gamma$, where $s^*$ is the target number of non-zero entries in a feasible solutio...