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arxiv: 2005.06804 · v3 · pith:H3YEF7TAnew · submitted 2020-05-14 · 🧮 math.OC

Computing the proximal operator of the ell₁ induced matrix norm

classification 🧮 math.OC
keywords operatorderivedinducedmatrixproximalalgorithmalgorithmicalthough
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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).

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