ADMM Algorithm Implementation for Group Lasso Problems
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Resource Overview
Detailed Documentation
This MATLAB program implements the ADMM (Alternating Direction Method of Multipliers) algorithm for solving group lasso optimization problems. ADMM is a widely-used optimization method that decomposes complex problems into smaller subproblems through variable splitting and alternating minimization. The implementation handles group sparsity constraints by solving alternating updates for primal variables, dual variables, and Lagrangian multipliers. Key components include proximal operators for group-wise soft thresholding, parameter tuning interfaces for regularization weights, and convergence criteria monitoring. The code maintains algorithmic integrity while allowing customization through adjustable parameters for different datasets. Core functions implement variable updates using matrix operations and group-wise norm calculations for efficient sparse solutions. For technical inquiries or implementation details, please contact our support team.
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