An active-set method for sparse approximations. Part I: Separable $\ell_1$ terms

Abstract: In this paper we present an active-set method for the solution of $\ell_1$-regularized convex quadratic optimization problems. It is derived by combining a proximal method of multipliers (PMM) strategy with a standard semismooth Newton method (SSN). The resulting linear systems are solved using a Krylov-subspace method, accelerated by certain general-purpose preconditioners which are shown to be optimal with respect to the proximal parameters. Practical efficiency is further improved by warm-starting the algorithm using a proximal alternating direction method of multipliers. We show that the outer PMM achieves global convergence under mere feasibility assumptions. Under additional standard assumptions, the PMM scheme achieves global linear and local superlinear convergence. The SSN scheme is locally superlinearly convergent, assuming that its associated linear systems are solved accurately enough, and globally convergent under certain additional regularity assumptions. We provide numerical evidence to demonstrate the effectiveness of the approach by comparing it against OSQP and IP-PMM (an ADMM and a regularized IPM solver, respectively) on several elastic-net linear regression and $L^1$-regularized PDE-constrained optimization problems.