Heaviside Set Constrained Optimization: Optimality and Newton Method

Abstract: Data in the real world frequently involve binary status: truth or falsehood, positiveness or negativeness, similarity or dissimilarity, spam or non-spam, and to name a few, with applications into the regression, classification problems and so on. To characterize the binary status, one of the ideal functions is the Heaviside step function that returns one for one status and zero for the other. Hence, it is of dis-continuity. Because of this, the conventional approaches to deal with the binary status tremendously benefit from its continuous surrogates. In this paper, we target the Heaviside step function directly and study the Heaviside set constrained optimization: calculating the tangent and normal cones of the feasible set, establishing several first-order sufficient and necessary optimality conditions, as well as developing a Newton type method that enjoys locally quadratic convergence and excellent numerical performance.