scipy.optimize solution using python for the following equation

Question

I am very new to scipy and doing data analysis in python. I am trying to solve the following regularized optimization problem and unfortunately I haven't been able to make too much sense from the scipy documentation. I am looking to solve the following constrained optimization problem using scipy.optimize Here is the function I am looking to minimize: here A is an m X n matrix , the first term in the minimization is the residual sum of squares, the second is the matrix frobenius (L2 norm) of a sparse n X n matrix W, and the third one is an L1 norm of the same matrix W. In the function A is an m X n matrix , the first term in the minimization is the residual sum of squares, the second term is the matrix frobenius (L2 norm) of a sparse n X n matrix W, and the third one is an L1 norm of the same matrix W. I would like to know how to minimize this function subject to the constraints that: ``` wj >= 0 wj,j = 0 ``` I would like to use coordinate descent (or any other method that scipy.optim…

Accepted Answer

How large is m and n?

Here is a basic example for how to use fmin:

```
from scipy import optimize
import numpy as np

m = 5
n = 3

a = np.random.rand(m, n)
idx = np.arange(n)

def func(w, beta, lam):
    w = w.reshape(n, n)
    w2 = np.abs(w)
    w2[idx, idx] = 0
    return 0.5*((a - np.dot(a, w2))**2).sum() + lam*w2.sum() + 0.5*beta*(w2**2).sum()

w = optimize.fmin(func, np.random.rand(n*n), args=(0.1, 0.2))
w = w.reshape(n, n)
w[idx, idx] = 0
w = np.abs(w)
print w
```

If you want to use coordinate descent, you can implement it by theano.

http://deeplearning.net/software/theano/

scipy.optimize solution using python for the following equation

Solution

Problem