Computing the proximal operator of the $\ell_1$ induced matrix norm
Abstract
In this short article, for any matrix $X\in\mathbb{R}^{n\times m}$ the proximity operator of two induced norms $ \|X\|_1 $ and $ \|X\|_{\infty}$ are derived. Although no close form expression is obtained, an algorithmic procedure is described which costs roughly $\mathcal{O}(nm)$. This algorithm relies on a bisection on a real parameter derived from the Karush-Kuhn-Tucker conditions, following the proof idea of the proximal operator of the $ \max $ function found in Parikh(2014).
- Publication:
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arXiv e-prints
- Pub Date:
- May 2020
- DOI:
- 10.48550/arXiv.2005.06804
- arXiv:
- arXiv:2005.06804
- Bibcode:
- 2020arXiv200506804C
- Keywords:
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- Mathematics - Optimization and Control