skscope: Fast Sparsity-Constrained Optimization in Python

arXiv:2403.18540v1 Announce Type: cross
Abstract: Applying iterative solvers on sparsity-constrained optimization (SCO) requires tedious mathematical deduction and careful programming/debugging that hinders these solvers' broad impact. In the paper, the library skscope is introduced to overcome such an obstacle. With skscope, users can solve the SCO by just programming the objective function. The convenience of skscope is demonstrated through two examples in the paper, where sparse linear regression and trend filtering are addressed with just four lines of code. More importantly, …

arxiv cs.lg optimization python sparsity stat.co stat.ml type