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I have a non-convex objective function with L0 constraint. I am struggling to find an approximate method to solve the problem. I would really grateful if someone could give a pointer to an algorithm.

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  • $\begingroup$ By $\ell_0$ constraint do you mean that you have an $\ell_0$-penalty term in the objective function? $\endgroup$ – littleO Nov 27 '17 at 6:14
  • $\begingroup$ Yes, $\mathit{l}_{0}$-penalty $\endgroup$ – Dushyant Sahoo Nov 27 '17 at 17:18
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The paper "Low Rank Priors for Color Image Regularization" by Mollenhoff, Strekalovskiy, Moller, and Cremers contains a proximal algorithm that is useful for non-convex optimization and shows some examples where the $\ell_0$-penalty is used.

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