Conference paper

Sparse projections onto the simplex

Most learning methods with rank or sparsity constraints use convex relaxations, which lead to optimization with the nuclear norm or the`1-norm. However, several important learning applications cannot benet from this approach as they feature these convex norms as constraints in addition to the non-convex rank and sparsity constraints. In this setting, we derive ecient sparse projections onto the simplex and its extension, and illustrate how to use them to solve high-dimensional learning problems in quantum tomography, sparse density estimation and portfolio selection with non-convex constraints.


    • EPFL-CONF-203754

    Record created on 2014-12-11, modified on 2017-05-12

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