Solving a nonsmooth and nonconvex minimization problem can be approached as finding a zero of a set-valued operator. With this perspective, we propose a novel Majorizer–Minimizer technique to find a local minimizer of a nonsmooth and nonconvex function and establish its convergence. Our approach leverages Bregman distances to generalize the classical quadratic regularization. By doing so, we generate a family of regularized problems that encompasses quadratic regularization as a special case. To further demonstrate the effectiveness of our method, we apply it on a lasso regression model, showcasing its performance.

The process of sleep stage identification is a labour-intensive task that involves the specialized interpretation of the polysomnographic signals captured from a patient’s overnight sleep session. Automating this task has proven to be challenging for data mining algorithms because of noise, complexity and the extreme size of data. In this paper we apply nonsmooth optimization to extract key features that lead to better accuracy. We develop a specific procedure for identifying K-complexes, a special type of brain wave crucial for distinguishing sleep stages. The procedure contains two steps. We first extract “easily classified” K-complexes, and then apply nonsmooth optimization methods to extract features from the remaining data and refine the results from the first step. Numerical experiments show that this procedure is efficient for detecting K-complexes. It is also found that most classification methods perform significantly better on the extracted features.