High-speed sparse optimization device, high-speed sparse optimization method, and program

摘要

PROBLEM TO BE SOLVED: To obtain a high-quality solution of a non-convex sparse optimization problem at high speed even for ill-conditioned problems. A calculation unit includes a non-zero element included in a set obtained by adding elements not included in the non-zero element set to an initial value of the non-zero element set or the non-zero element set obtained last time. The optimum value of the objective function in the case of allowing only the elements to be non-zero elements to be non-zero elements is calculated for each of the elements that are not included in the set of non-zero elements, and the main processing unit 120 determines By adding a predetermined upper limit number for each number of iterations so that the total becomes a predetermined number, in order of optimal value of the objective function, the added element is selected and added to the set of non-zero elements. The determination unit 140 repeats the output, and outputs the value of the variable vector in which the value of the objective function is optimum when the output unit 150 allows only a set of non-zero elements to become non-zero elements. [Selection diagram] Figure 1