Properties and iterative methods for the lasso and its variants (Q741471): Difference between revisions

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Latest revision as of 02:45, 10 December 2024

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Properties and iterative methods for the lasso and its variants
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    Properties and iterative methods for the lasso and its variants (English)
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    12 September 2014
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    The author introduces several new iterative algorithms based on the proximal map and proves the convergence of the generated sequences. The results are applied to approximate a solution of the minizimization problem \[ \min_{x}{1 \over 2} \|Ax-b\|_{2}^{2} {\;subject\;to\;}\|x\|_{1}\leq t, \] known as least absolute shrinkage operator (or lasso) and first introduced in [\textit{R. Tibshirani}, J. R. Stat. Soc., Ser. B 58, No. 1, 267--288 (1996; Zbl 0850.62538)]. Convergence theorems for solving two variants of lasso are also proved.
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    lasso
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    elastic net
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    smooth-lasso
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    \(\ell_ 1\) regularization
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    sparsity
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    proximal method
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    dual method
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    projection
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    thresholding
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