2
votes
1answer
113 views

Projection onto $\ell^{2,1}$ ball

Does anyone have an idea how to project onto the $\ell^{2,1}$ ball efficiently, i.e. how to solve $$ u = \arg \min_u \|u-f \|^2 \text{such that } \left(\sum_i \big(\sum_j |u_{i,j}|\big)^2 ...
5
votes
0answers
140 views

Numerical linear algebra: how to compute $B^TC^{−1}B$ efficiently

Hi, my question is similar to this one. I have to compute $B^TC^{−1}B$, where $C$ is a strictly positive definite $n\times n$ matrix and $B$ is $n\times m$. The matrix $C$ is huge ($n$ up to a ...