We present some characterizations of the ordered weighted l(1) norm (aka sorted l(1) norm) and of the vector Ky-Fan norm as solutions to linear programs involving reasonably many variables and constraints. Such linear...
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We present some characterizations of the ordered weighted l(1) norm (aka sorted l(1) norm) and of the vector Ky-Fan norm as solutions to linear programs involving reasonably many variables and constraints. Such linear characterizations can be exploited to recast and effortlessly solve a variety of convex optimization problems involving these norms. Similar linear characterizations are given for the dual norms of the ordered weighted l(1) norm and the Ky-Fan norm.
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