Sparse variable optimization device, sparse variable optimization method, and sparse variable optimization program

A sparse variable optimization method comprising:

• computing a gradient of an objective function in a designated value of a variable;
• adding one of variables included in a variable set, to a nonzero variable set;
• optimizing a value of a variable to be optimized, for each variable included in the nonzero variable set;
• deleting a variable that, when deleted, causes a smallest increase of the objective function from among variables included in the nonzero variable set, from the nonzero variable set;
• and
• computing a value of the objective function for the variable to be optimized,
• wherein when computing the gradient, the gradient of the objective function in the variable to be optimized is computed, and
• wherein a variable corresponding to a largest absolute value of the computed gradient from among the variables included in the variable set is added to the nonzero variable set.

A non-transitory computer readable information recording medium storing a sparse variable optimization program that, when executed by a processor, performs a method for:

• computing a gradient of an objective function in a designated value of a variable;
• adding one of variables included in a variable set, to a nonzero variable set;
• optimizing a value of a variable to be optimized, for each variable included in the nonzero variable set;
• deleting a variable that, when deleted, causes a smallest increase of the objective function from among variables included in the nonzero variable set, from the nonzero variable set;
• and
• computing a value of the objective function for the variable to be optimized,
• wherein when computing the gradient, the gradient of the objective function in the variable to be optimized is computed, and
• wherein a variable corresponding to a largest absolute value of the computed gradient from among the variables included in the variable set is added to the nonzero variable set.