Fast Newton Methods For The Group Fused Lasso

We present a new algorithmic approach to the group fused lasso, a convex model that approximates a multi-dimensional signal via an approximately piecewise-constant signal. This model has found many applications in multiple change point detection, signal compression, and total variation denoising, though existing algorithms typically using first-order or alternating minimization schemes. In this paper we instead develop a specialized projected Newton method, combined with a primal active set approach, which we show to be substantially faster that existing methods. Furthermore, we present two applications that use this algorithm as a fast subroutine for a more complex outer loop: segmenting linear regression models for time series data, and color image denoising. We show that on these problems the proposed method performs very well, solving the problems faster than state-of-the-art methods and to higher accuracy.