Regularized M-estimators with nonconvexity: Statistical and algorithmic theory for local optima

zbMath1360.62276arXiv1305.2436MaRDI QIDQ5502126

Publication date: 17 August 2015

Full work available at URL: https://arxiv.org/abs/1305.2436

model selection nonconvex optimization \(M\)-estimation high-dimensional statistics nonconvex regularization

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of mathematical programming (90C90) Nonconvex programming, global optimization (90C26) Statistical ranking and selection procedures (62F07)

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