An iteratively re-weighted method (IRW) is introduced for optimization problems with sparsity-inducing norms, supported by a convergence guarantee and shown to outperform alternatives on robust feature selection.
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An Iteratively Re-weighted Method for Problems with Sparsity-Inducing Norms
An iteratively re-weighted method (IRW) is introduced for optimization problems with sparsity-inducing norms, supported by a convergence guarantee and shown to outperform alternatives on robust feature selection.