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# New Perspectives on k-Support and Cluster Norms

## Abstract

We study a regularizer which is defined as a parameterized infimum of quadratics, and which we call the box-norm. We show that the -support norm, a regularizer proposed by [Argyriou et al.(2012)Argyriou, Foygel, and Srebro] for sparse vector prediction problems, belongs to this family, and the box-norm can be generated as a perturbation of the former. We derive an improved algorithm to compute the proximity operator of the squared box-norm, and we provide a method to compute the norm. We extend the norms to matrices, introducing the spectral -support norm and spectral box-norm. We note that the spectral box-norm is essentially equivalent to the cluster norm, a multitask learning regularizer introduced by \citetJacob2009-CLUSTER, and which in turn can be interpreted as a perturbation of the spectral -support norm. Centering the norm is important for multitask learning and we also provide a method to use centered versions of the norms as regularizers. Numerical experiments indicate that the spectral -support and box-norms and their centered variants provide state of the art performance in matrix completion and multitask learning problems respectively.

New Perspectives on -Support and Cluster NormsMcDonald, Pontil, Stamos \firstpageno1

\editor{keywords}

Convex Optimization, Matrix Completion, Multitask Learning, Spectral Regularization, Structured Sparsity.

## 1 Introduction

We continue the study of a family of norms which are obtained by taking the infimum of a class of quadratic functions. These norms can be used as a regularizer in linear regression learning problems, where the parameter set can be tailored to assumptions on the underlying regression model. This family of norms is sufficiently rich to encompass regularizers such as the norms, the group Lasso with overlap \citepJacob2009-GL and the norm of [Micchelli et al.(2013)Micchelli, Morales, and Pontil]. In this paper we focus on a particular norm in this framework – the box-norm – in which the parameter set involves box constraints and a linear constraint. We study the norm in detail and show that it can be generated as a perturbation of the -support norm introduced by \citetArgyriou2012 for sparse vector estimation, which hence can be seen as a special case of the box-norm. Furthermore, our variational framework allows us to study efficient algorithms to compute the norms and the proximity operator of the square of the norms.

Another main goal of this paper is to extend the -support and box-norms to a matrix setting. We observe that both norms are symmetric gauge functions, hence by applying them to the spectrum of a matrix we obtain two orthogonally invariant matrix norms. In addition, we observe that the spectral box-norm is essentially equivalent to the cluster norm introduced by [Jacob et al.(2009a)Jacob, Bach, and Vert] for multitask clustering, which in turn can be interpreted as a perturbation of the spectral -support norm.

The characteristic properties of the vector norms translate in a natural manner to matrices. In particular, the unit ball of spectral -support norm is the convex hull of the set of matrices of rank no greater than , and Frobenius norm bounded by one. In numerical experiments we present empirical evidence on the strong performance of the spectral -support norm in low rank matrix completion and multitask learning problems.

Moreover, our computation of the vector box-norm and its proximity operator extends naturally to the spectral case, which allows us to use proximal gradient methods to solve regularization problems using the cluster norm. Finally, we provide a method to use the centered versions of the penalties, which are important in applications \citep[see e.g.][]Evgeniou2007,Jacob2009-CLUSTER.

### 1.1 Related Work

Our work builds upon a recent line of papers which considered convex regularizers defined as an infimum problem over a parametric family of quadratics, as well as related infimal convolution problems \citep[see][and references therein]Jacob2009-GL,Bach2011,Maurer2012,Micchelli2005,Obozinski2012. Related variational formulations for the Lasso have also been discussed in \citepGrandvalet1998 and further studied in \citepGrandvalet2007.

To our knowledge, the box-norm was first suggested by [Jacob et al.(2009a)Jacob, Bach, and Vert] and used as a symmetric gauge function in matrix learning problems. The induced orthogonally invariant matrix norm is named the cluster norm in \citepJacob2009-CLUSTER and was motivated as a convex relaxation of a multitask clustering problem. Here we formally prove that the cluster norm is indeed an orthogonal invariant norm. More importantly, we explicitly compute the norm and its proximity operator.

A key observation of this paper is the link between the box-norm and the -support norm and in turn the link between the cluster norm and the spectral -support norm. The -support norm was proposed in \citepArgyriou2012 for sparse vector prediction and was shown to empirically outperform the Lasso \citepTibshirani1996 and Elastic Net \citepZou2005 penalties. See also [Gkirtzou et al.(2013)Gkirtzou, Honorio, Samaras, Goldstein, and Blaschko] for further empirical results.

In recent years there has been a great deal of interest in the problem of learning a low rank matrix from a set of linear measurements. A widely studied and successful instance of this problem arises in the context of matrix completion or collaborative filtering, in which we want to recover a low rank (or approximately low rank) matrix from a small sample of its entries, see e.g. \citetSrebro2005,Abernethy2009 and references therein. One prominent method of solving this problem is trace norm regularization: we look for a matrix which closely fits the observed entries and has a small trace norm (sum of singular values) \citepJaggi2010,Toh2011,Mazumder2010. In our numerical experiments we consider the spectral -support norm and spectral box-norm as alternatives to the trace norm and compare their performance.

Another application of matrix learning is multitask learning. In this framework a number of tasks, such as classifiers or regressors, are learned by taking advantage of commonalities between them. This can improve upon learning the tasks separately, for instance when insufficient data is available to solve each task in isolation \citep[see e.g.][]Evgeniou2005, Argyriou2006, Argyriou2008, Jacob2009-CLUSTER, Cavallanti, Maurer2006, Maurer2008. An approach which has been successful is the use of spectral regularizers such as the trace norm to learn a matrix where the columns represent the individual tasks, and in this paper we compare the performance of the spectral -support and box-norms as penalties in multitask learning problems.

Finally, we note that this is a longer version of the conference paper \citepMcDonald2014a and includes new theoretical and experimental results.

### 1.2 Contributions

We summarise the main contributions of this paper.

• We show that the vector -support norm is a special case of the more general box-norm, which in turn can be seen as a perturbation of the former. The box-norm can be written as a parameterized infimum of quadratics, and this framework is instrumental in deriving a fast algorithm to compute the norm and the proximity operator of the squared norm in time. Apart from improving on the algorithm for the proximity operator in \citetArgyriou2012, this method allows one to use optimal first order optimization algorithms \citepNesterov2007 for the box-norm1.

• We extend the -support and box-norms to orthogonally invariant matrix norms. We note that the spectral box-norm is essentially equivalent to the cluster norm, which in turn can be interpreted as a perturbation of the spectral -support norm in the sense of the Moreau envelope. Our computation of the vector box-norm and its proximity operator also extends naturally to the spectral case. This allows us to use proximal gradient methods for the cluster norm. Furthermore, we provide a method to apply the centered versions of the penalties, which are important in applications.

• We present extensive numerical experiments on both synthetic and real matrix learning datasets. Our findings indicate that regularization with the spectral -support and box-norms produces state-of-the art results on a number of popular matrix completion benchmarks and centered variants of the norms show a significant improvement in performance over the centered trace norm and the matrix elastic net on multitask learning benchmarks.

### 1.3 Notation

We use for the set of integers from up to and including . We let be the dimensional real vector space, whose elements are denoted by lower case letters. We let and be the subsets of vectors with nonnegative and strictly positive components, respectively. We denote by the unit -simplex, . For any vector , its support is defined as . We use to denote either the scalar or a vector of all ones, whose dimension is determined by its context. Given a subset of , the -dimensional vector has ones on the support , and zeros elsewhere. We let be the space of real matrices and write to denote the matrix whose columns are formed by the vectors . For a vector , we denote by the diagonal matrix having elements on the diagonal. We say matrix is diagonal if whenever . We denote the trace of a matrix by , and its rank by . We let be the vector formed by the singular values of , where , and where we assume that the singular values are ordered nonincreasing, i.e. . We use to denote the set of real symmetric matrices, and to denote the subset of positive semidefinite matrices. We use to denote the positive semidefinite ordering on . The notation denotes the standard inner products on and , that is for , and , for . Given a norm on or , denotes the corresponding dual norm, given by . On we denote by the Euclidean norm, and on we denote by the Frobenius norm and by the trace norm, that is the sum of singular values.

### 1.4 Organization

The paper is organized as follows. In Section 2, we review a general class of norms and characterize their unit ball. In Section 3, we specialize these norms to the box-norm, which we show is a perturbation of the -support norm. We study the properties of the norms and we describe the geometry of the unit balls. In Section 4, we compute the box-norm and we provide an efficient method to compute the proximity operator of the squared norm. In Section 5, we extend the norms to orthogonally invariant matrix norms – the spectral -support and spectral box-norms – and we show that these exhibit a number of properties which relate to the vector properties in a natural manner. In Section 6, we review the clustered multitask learning setting, we recall the cluster norm introduced by \citetJacob2009-CLUSTER and we show that the cluster norm corresponds to the spectral box-norm. We also provide a method for solving the resulting matrix regularization problem using “centered” norms. In Section 7, we apply the norms to matrix learning problems on a number of simulated and real datasets and report on their performance. In Section 8, we discuss extensions to the framework and suggest directions for future research. Finally, in Section 9, we conclude.

## 2 Preliminaries

In this section we review a family of norms parameterized by a set , and which we call the -norms. They are closely related to the norms considered in \citetMicchelli2010,Micchelli2013. Similar norms are also discussed in \citet[][Sect. 1.4.2]Bach2011 where they are called -norms. We first recall the definition of the norm.

{definition}

Let be a convex bounded subset of the open positive orthant. For the -norm is defined as

 ∥w∥Θ= ⎷pinfθ∈Θd∑i=1w2iθi. (1)

Note that the function is strictly convex on , hence every minimizing sequence converges to the same point. The infimum is, however, not attained in general because a minimizing sequence may converge to a point on the boundary of . For instance, if , then and the minimizing sequence converges to the point , which belongs to only if all the components of are different from zero.

{proposition}

The -norm is well defined and the dual norm is given, for , by

 ∥u∥∗,Θ= ⎷psupθ∈Θd∑i=1θiu2i. (2)
{proof}

Consider the expression for the dual norm. The function is a norm since it is a supremum of norms. Recall that the Fenchel conjugate of a function is defined for every as . It is a standard result from convex analysis that for any norm , the Fenchel conjugate of the function satisfies , where is the corresponding dual norm \citep[see, e.g.][]Lewis1995. By the same result, for any norm the biconjugate is equal to the norm, that is . Applying this to the dual norm we have, for every , that

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This is a minimax problem in the sense of von Neumann \citep[see e.g. Prop. 2.6.3 in][]Bertsekas2003, and we can exchange the order of the and the , and solve the latter (which is in fact a maximum) componentwise. The gradient with respect to is zero for , and substituting this into the objective function we obtain . It follows that the expression in (1) defines a norm, and its dual norm is defined by (2), as required.

The -norm (1) encompasses a number of well known norms. For instance, for the norm is defined, for every , as , if  and . For , one can show \citep[][Lemma 26]Micchelli2005, that , where we have defined . For this confirms the set corresponding to the norm as claimed above. Similarly, for we have that , where . The -norm is obtained as both a primal and dual -norm in the limit as tends to 2. See also \citetAflalo2011 who considered the case of .

Other norms which belong to the family (1) are presented in \citepMicchelli2013 and correspond to choosing , where is a convex cone. A specific example described therein is the wedge penalty, which corresponds to choosing .

We now describe the unit ball of the -norm when the set is a polyhedron and we characterize the unit ball of the norm. This setting applies to a number of norms of practical interest, including the group lasso with overlap, the wedge norm mentioned above and, as we shall see, the -support norm. To describe our observation, for every vector , we define the seminorm

 ∥w∥γ= ⎷∑i:γi>0w2iγi.
{proposition}

Let such that and let .

Then we have, for every , that

 ∥w∥Θ=pinf{m∑ℓ=1∥vℓ∥γℓ:vℓ∈Rd, supp(vℓ)⊆supp(γℓ), ℓ∈Nm, m∑ℓ=1vℓ=w}. (3)

Moreover, the unit ball of the norm is given by the convex hull of the set

 m⋃ℓ=1{w∈Rd:supp(w)⊆supp(γℓ),∥w∥γℓ≤1}. (4)

The proof of this result is presented in the appendix. It is based on observing that the Minkowski functional \citep[see e.g.][]Rudin1991 of the convex hull of the set (4) is a norm and it is given by the right hand side of equation (3); we then prove that this norm coincides with by noting that both norms share the same dual norm. To illustrate an application of the proposition, we specialize it to the group Lasso with overlap \citepJacob2009-GL. {corollary} If is a collection of subsets of such that and is the interior of the set , then we have, for every , that

 ∥w∥Θ=pinf⎧⎨⎩∑g∈G∥vg∥2:vg∈Rd, supp(vg)⊆g, ∑g∈Gvg=w⎫⎬⎭. (5)

Moreover, the unit ball of the norm is given by the convex hull of the set

 ⋃g∈G{w∈Rd:supp(w)⊆g,∥w∥2≤1}. (6)

We do not claim any originality in the above corollary and proposition, although we cannot find a specific reference. The utility of the result is that it links seemingly different norms such as the group Lasso with overlap and the -norms, which provide a more compact representation, involving only additional variables. This formulation is especially useful whenever the optimization problem (1) can be solved in closed form. One such example is provided by the wedge norm described above. In the next section we discuss one more important case, the box-norm, which plays a central role in this paper.

## 3 The Box-Norm and the k-Support Norm

We now specialize our analysis to the case that

 Θ={θ∈Rd:a≤θi≤b,d∑i=1θi≤c} (7)

where and . We call the norm defined by (1) the box-norm and we denote it by .

The structure of set for the box-norm will be fundamental in computing the norm and deriving the proximity operator in Section 4. Furthermore, we note that the constraints are invariant with respect to permutations of the components of and, as we shall see in Section 5, this property is key to extending the norm to matrices. Finally, while a restriction of the general family, the box-norm nevertheless encompasses a number of norms including the and norms, as well as the -support norm, which we now recall.

For every , the -support norm \citepArgyriou2012 is defined as the norm whose unit ball is the convex hull of the set of vectors of cardinality at most and -norm no greater than one. The authors show that the -support norm can be written as the infimal convolution \citep[see][p. 34]Rockafellar1970

 ∥w∥(k) =pinf⎧⎨⎩∑g∈Gk∥vg∥2:vg∈Rd, supp(vg)⊆g, ∑g∈Gkvg=w⎫⎬⎭,   w∈Rd, (8)

where is the collection of all subsets of containing at most elements. The -support norm is a special case of the group lasso with overlap \citepJacob2009-GL, where the cardinality of the support sets is at most . When used as a regularizer, the norm encourages vectors to be a sum of a limited number of vectors with small support. Note that while definition (8) involves a combinatorial number of variables, \citetArgyriou2012 observed that the norm can be computed in , a point we return to in Section 4.

Comparing equation (8) with Corollary 2 it is evident that the -support norm is a -norm where , which by symmetry can be expressed as . Hence, we see that the -support norm is a special case of the box-norm.

Despite the complicated form of (8), [Argyriou et al.(2012)Argyriou, Foygel, and Srebro] observe that the dual norm has a simple formulation, namely the -norm of the largest components,

 ∥u∥∗,(k) = ⎷k∑i=1(|u|↓i)2,   u∈Rd, (9)

where is the vector obtained from by reordering its components so that they are non-increasing in absolute value. Note from equation (9) that for and , the dual norm is equal to the -norm and -norm, respectively. It follows that the -support norm includes the -norm and -norm as special cases.

We now provide a different argument illustrating that the -support norm belongs to the family of box-norms using the dual norm. We first derive the dual box-norm. {proposition} The dual box-norm is given by

 ∥u∥2∗,box=a∥u∥22+(b−a)(∥u∥2∗,(k)+(ρ−k)(|u|↓k+1)2), (10)

where and is the largest integer not exceeding . {proof} We need to solve problem (2). We make the change of variable and observe that the constraints on induce the constraint set , where . Furthermore . The result then follows by taking the supremum over . We see from equation (10) that the dual norm decomposes into a weighted combination of the -norm, the -support norm and a residual term, which vanishes if . For the rest of this paper we assume this holds, which loses little generality. This choice is equivalent to requiring that , which is the case considered by [Jacob et al.(2009a)Jacob, Bach, and Vert] in the context of multitask clustering, where is interpreted as the number of clusters and as the number of tasks. We return to this case in Section 6, where we explain in detail the link between the spectral -support norm and the cluster norm.

Observe that if , and , the dual box-norm (10) coincides with dual -support norm in equation (9). We conclude that if

 Θ={θ∈Rd:0<θi≤1, d∑i=1θi≤k}

then the -norm coincides with the -support norm.

### 3.1 Properties of the Norms

In this section we illustrate a number of properties of the box-norm and the connection to the -support norm. The first result follows as a special case of Proposition 2. {corollary} If and , for , then it holds that

 ∥w∥box=pinf⎧⎨⎩∑g∈Gk ⎷∑i∈gv2g,ib+∑i∉gv2g,ia:vg∈Rd, ∑g∈Gkvg=w⎫⎬⎭,   w∈Rd.

Furthermore, the unit ball of the norm is given by the convex hull of the set

 ⋃g∈Gk⎧⎨⎩w∈Rd:∑i∈gw2ib+∑i∉gw2ia≤1⎫⎬⎭. (11)

Notice in Equation (11) that if , then as tends to zero, we obtain the expression of the -support norm (8), recovering in particular the support constraints. If is small and positive, the support constraints are not imposed, however most of the weight for each tends to be concentrated on . Hence, Corollary 3.1 suggests that if then the box-norm regularizer will encourage vectors whose dominant components are a subset of a union of a small number of groups .

Our next result links two -norms whose parameter sets are related by a linear transformation with positive coefficients. {lemma} Let be a convex bounded subset of the positive orthant in , and let , where . Then

 ∥w∥2Φ =minz∈Rd{1α∥w−z∥22+1β∥z∥2Θ}.
{proof}

We consider the definition of the norm in (1). We have

 ∥w∥2Φ =pinfϕ∈Φd∑i=1w2iϕi=pinfθ∈Θd∑i=1w2iα+βθi, (12)

where we have made the change of variable . Next we observe that

 minz∈Rd{1α∥w−z∥22+1β∥z∥2Θ} =minz∈Rdpinfθ∈Θ{d∑i=1(wi−zi)2α+z2iβθi}=pinfθ∈Θd∑i=1w2iα+βθi, (13)

where we interchanged the order of the minimum and the infimum and solved for componentwise, setting . The result now follows by combining equations (12) and (13).

In Section 3 we characterized the -support norm as a special case of the box-norm. Conversely, Lemma 3.1 allows us to interpret the box-norm as a perturbation of the -support norm with a quadratic regularization term.

{proposition}

Let be the box-norm on with parameters and , for , then

 ∥w∥2box=minz∈Rd{1a∥w−z∥22+1b−a∥z∥2(k)}. (14)
{proof}

The result directly follows from Lemma 3.1 for , and .

Lemma 3.1 and Proposition 3.1 can further be interpreted using the Moreau envelope from convex optimization, which we now recall \citep[Ch. 1 §G]Rockafellar2009. {definition} Let be proper, lower semi-continuous and let . The Moreau envelope of with parameter is defined as

 eρf(w)=pinfz∈Rd{f(z)+12ρ∥w−z∥22}.

Note that minorizes and is convex and smooth \citep[see e.g.]Bauschke2010. It acts as a parameterized smooth approximation to from below, which motivates its use in variational analysis \citep[see e.g.][for further discussion]Rockafellar2009. Lemma 3.1 therefore says that is a Moreau-envelope of with parameter whenever is defined as , . In particular we see from (14) that the squared box-norm, scaled by a factor of , is a Moreau envelope of the squared -support norm as we have

 (b−a)∥w∥2box =minz∈Rd{∥z∥2(k)+12ρ∥w−z∥22}=:eρf(w), (15)

where and .

Proposition 3.1 further allows us to decompose the solution to a vector learning problem using the squared box-norm into two components with particular structure. Specifically, consider the regularization problem

 minw∈Rd∥Xw−y∥22+λ∥w∥2box (16)

with data and response . Using Proposition 3.1 and setting , we see that (16) is equivalent to

 minu,z∈Rd{∥X(u+z)−y∥22+λa∥u∥22+λb−a∥z∥2(k)}. (17)

Furthermore, if solves problem (17) then solves problem (16). The solution can therefore be interpreted as the superposition of a vector which has small norm, and a vector which has small -support norm, with the parameter regulating these two components. Specifically, as tends to zero, in order to prevent the objective from blowing up, must also tend to zero and we recover -support norm regularization. Similarly, as tends to , vanishes and we have a simple ridge regression problem.

A further consequence of Proposition 3.1 is the differentiability of the squared box-norm. {proposition} If the squared box-norm is differentiable on and its gradient

 ∇(∥⋅∥2box) =2a(Id−proxρ∥⋅∥2(k))

is Lipschitz continuous with parameter . {proof} Letting , , by (15) we have . The result follows directly from \citet[][Prop. 12.29]Bauschke2010, as is convex and continuous on and the gradient is given as .

Proposition 3.1 establishes that the square of the box-norm is differentiable and its smoothness is controlled by the parameter . Furthermore, the gradient can be determined from the proximity operator, which we compute in Section 4.

### 3.2 Geometry of the Norms

In this section, we briefly investigate the geometry of the box-norm. Figure 4 depicts the unit balls for the -support norm in for various parameter values, setting throughout. For and we recognize the and balls respectively. For the unit ball retains characteristics of both norms, and in particular we note the discontinuities along each of , and planes, as in the case of the norm.

Figure 4 depicts the unit balls for the box-norm for a range of values of and , with . We see that in general the balls increase in volume with each of and , holding the other parameter fixed. Comparing the -support norm (), that is the norm, and the box-norm (, ), we see that the parameter smooths out the sharp edges of the norm. This is also visible when comparing the -support () and the box (, ). This illustrates the smoothing effect of the parameter , as suggested by Proposition 3.1.

We can gain further insight into the shape of the unit balls of the box-norm from Corollary 3.1. Equation (11) shows that the primal unit ball is the convex hull of ellipsoids in , where for each group the semi-principle axis along dimension has length if , and length if . Similarly, the unit ball of the dual box-norm is the intersection of ellipsoids in where for each group the semi-principle axis in dimension has length if , and length if (see also Equation 37 in the appendix). It is instructive to further consider the effect of the parameter on the unit balls for fixed . To this end, recall that since , when we have . In this case, for all values of in , the objective in (1) is attained by setting for all , and we recover the -norm, scaled by , for the primal box-norm. Similarly in (2), the dual norm gives rise to the -norm, scaled by . In the remainder of this section we therefore only consider the cases in

For , . The unit ball of the primal box-norm is the convex hull of the ellipsoids defined by

 w21b+w22a+w23a=1,w21a+w22b+w23a=1,% andw21a+w22a+w23b=1, (18)

and the unit ball of the dual box-norm is the intersection of the ellipsoids defined by

 w21b−1+w22a−1+w23a−1=1,w21a−1+w22b−1+w23a−1=1,andw21a−1+w22a−1+w23b−1=1. (19)

For , . The unit ball of the primal box-norm is the convex hull of the ellipsoids defined by (18) in addition to the following

 w21b+w22b+w23a=1,w21a+w22b+w23b=1,% andw21b+w22a+w23b=1, (20)

and the unit ball of the dual box-norm is the intersection of the ellipsoids defined by (19) in addition to the following

 w21b−1+w22b−1+w23a−1=1,w21a−1+w22b−1+w23b−1=1,andw21b−1+w22a−1+w23b−1=1. (21)

For the primal norm, note that since , each of the ellipsoids in (18) is entirely contained within one of those defined by (20), hence when taking the convex hull we need only consider the latter set. Similarly for the dual norm, since , each of the ellipsoids in (19) is contained within one of those defined by (21), hence when taking the intersection we need only consider the latter set.

Figures 4 and 4 depict the constituent ellipses for various parameter values for the primal and dual norms. As tends to zero the ellipses become degenerate. For , taking the convex hull we recover the unit ball in the primal norm, and taking the intersection we recover the unit ball in the dual norm. As tends to we recover the norm in both the primal and the dual.

## 4 Computation of the Norm and the Proximity Operator

In this section, we compute the norm and the proximity operator of the squared box-norm by explicitly solving the optimization problem (1). We also specialize our results to the -support norm and comment on the improvement with respect the method by [Argyriou et al.(2012)Argyriou, Foygel, and Srebro]. Recall that, for every vector , denotes the vector obtained from by reordering its components so that they are non-increasing in absolute value. {theorem} For every it holds that

 ∥w∥2box =1b∥wQ∥22+1p∥wI∥21+1a∥wL∥22, (22)

where , , , and are the unique integers in that satisfy ,

 |wq|b≥1pd−ℓ∑i=q+1|wi|>|wq+1|b,   |wd−ℓ|a≥1pd−ℓ∑i=q+1|wi|>|wd−ℓ+1|a, (23)

and we have defined and . Furthermore, the minimizer has the form

 θi=⎧⎪ ⎪ ⎪⎨⎪ ⎪ ⎪⎩b,if i∈{1,…,q},p|wi|∑d−ℓj=q+1|wj|,if i∈{q+1,…,d−ℓ},a,otherwise.
{proof}

We solve the constrained optimization problem

 pinf{d∑i=1w2iθi:a≤θi≤b,d∑i=1θi≤c}. (24)

To simplify the notation we assume without loss of generality that are positive and ordered nonincreasing, and note that the optimal are ordered non increasing. To see this, let . Now suppose that for some and define to be identical to , except with the and elements exchanged. The difference in objective values is

 d∑i=1w2i^θi−d∑i=1w2iθ∗i=(w2i−w2j)(1θ∗j−1θ∗i),

which is negative so cannot be a minimizer.

We further assume without loss of generality that for all , and (see Remark 4 below). The objective is continuous and we take the infimum over a closed bounded set, so a solution exists and it is unique by strict convexity. Furthermore, since , the sum constraint will be tight at the optimum. Consider the Lagrangian function

 L(θ,α)=d∑i=1w2iθi+1α2(d∑i=1θi−c), (25)

where is a strictly positive multiplier, and is to be chosen to make the sum constraint tight, call this value . Let be the minimizer of over subject to .

We claim that solves equation (24). Indeed, for any , , which implies that

 d∑i=1w2iθ∗i≤d∑i=1w2iθi+1(α∗)2(d∑i=1θi−c).

If in addition we impose the constraint , the second term on the right hand side is at most zero, so we have for all such that

 d∑i=1w2iθ∗i≤d∑i=1w2iθi,

whence it follows that is the minimizer of (24).

We can therefore solve the original problem by minimizing the Lagrangian (25) over the box constraint. Due to the coupling effect of the multiplier, the problem is separable, and we can solve the simplified problem componentwise \citep[see][Theorem 3.1]Micchelli2013. For completeness we repeat the argument here. For every and , the unique solution to the problem is given by

 θ=⎧⎪⎨⎪⎩b,if α|wi|>b,α|w|,if b≥α|wi|≥a,a,if a>α|wi|. (26)

Indeed, for fixed , the objective function is strictly convex on and has a unique minimum on (see Figure 1.b in \citetMicchelli2013 for an illustration). The derivative of the objective function is zero for , strictly positive below and strictly increasing above . Considering these three cases the result follows and is determined by (26) where satisfies .

The minimizer then has the form

 θ=(b,…,bq,θq+1,…,θd−ℓ,a,…,aℓ),

where are determined by the value of which satisfies

 S(α)=d∑i=1θi(α)=qb+d−ℓ∑i=q+1α|wi|+ℓa=c,

i.e. , where .

The value of the norm follows by substituting into the objective and we get

 ∥w∥2box =q∑i=1|wi|2b+1p(d−ℓ∑i=q+1|wi|)2+d∑i=d−ℓ+1|wi|2a=1b∥wQ∥22+1p∥wI∥2