Fast projection onto the ordered weighted $\ell_1$ norm ball

In this paper, we provide a finitely terminated yet efficient approach to compute the Euclidean projection onto the ordered weighted $\ell_1$ (OWL1) norm ball. In particular, an efficient semismooth Newton method is proposed for solving the dual of a reformulation of the original projection problem. Global and local quadratic convergence results, as well as the finite termination property, of the algorithm are proved. Numerical comparisons with the two best-known methods demonstrate the efficiency of our method. In addition, we derive the generalized Jacobian of the studied projector which, we believe, is crucial for the future designing of fast second order nonsmooth methods for solving general OWL1 norm constrained problems.

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