@article {friedlander2007SJOero,
title = {Exact regularization of convex programs},
journal = {SIAM Journal on Optimization},
volume = {18},
number = {4},
year = {2007},
month = {05},
pages = {1326-1350},
abstract = {The regularization of a convex program is exact if all solutions of the regularized problem are also solutions of the original problem for all values of the regularization parameter below some positive threshold. For a general convex program, we show that the regularization is exact if and only if a certain selection problem has a Lagrange multiplier. Moreover, the regularization parameter threshold is inversely related to the Lagrange multiplier. We use this result to generalize an exact regularization result of Ferris and Mangasarian [Appl. Math. Optim., 23(1991), pp. 266{\textendash}273] involving a linearized selection problem. We also use it to derive necessary and sufficient conditions for exact penalization, similar to those obtained by Bertsekas [Math. Programming, 9(1975), pp. 87{\textendash}99] and by Bertsekas, Nedi , Ozdaglar [Convex Analysis and Optimization, Athena Scientific, Belmont, MA, 2003]. When the regularization is not exact, we derive error bounds on the distance from the regularized solution to the original solution set. We also show that existence of a {\textquoteleft}{\textquoteleft}weak sharp minimum{\textquoteright}{\textquoteright} is in some sense close to being necessary for exact regularization. We illustrate the main result with numerical experiments on the l1 regularization of benchmark (degenerate) linear programs and semidefinite/second-order cone programs. The experiments demonstrate the usefulness of l1 regularization in finding sparse solutions.},
keywords = {Optimization, SLIM},
doi = {10.1137/060675320},
url = {http://www.cs.ubc.ca/~mpf/2007-exact-regularization.html},
author = {Michael P. Friedlander and Paul Tseng}
}