A unified analysis of convex and non-convex lp-ball projection problems

Abstract: The task of projecting onto $\ell_p$ norm balls is ubiquitous in statistics and machine learning, yet the availability of actionable algorithms for doing so is largely limited to the special cases of $p = \left{ 0, 1,2, \infty \right}$. In this paper, we introduce novel, scalable methods for projecting onto the $\ell_p$ ball for general $p>0$. For $p \geq1 $, we solve the univariate Lagrangian dual via a dual Newton method. We then carefully design a bisection approach for $p<1$, presenting theoretical and empirical evidence of zero or a small duality gap in the non-convex case. The success of our contributions is thoroughly assessed empirically, and applied to large-scale regularized multi-task learning and compressed sensing.