Recovery of Sparse Probability Measures via Convex Programming

NeurIPS 2012 Mert PilanciLaurent E. GhaouiVenkat Chandrasekaran

We consider the problem of cardinality penalized optimization of a convex function over the probability simplex with additional convex constraints. It's well-known that the classical L1 regularizer fails to promote sparsity on the probability simplex since L1 norm on the probability simplex is trivially constant... (read more)

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