Department of Applied Mathematics & Physics, Kyoto University
Technical Report 2010-011 (August 04, 2010)
SOR- and Jacobi-type Iterative Methods for Solving $\ell_1$-$\ell_2$ Problems by Way of Fenchel Duality
by Masao Fukushima
We present an SOR-type algorithm and a Jacobi-type
algorithm that can effectively be
applied to the $\ell_1$-$\ell_2$ problem by exploiting
its special structure.
The algorithms are globally convergent and can be
implemented in a particularly simple manner.
Relations with coordinate minimization methods are