A path algorithm for the Fused Lasso Signal Approximator

DOI10.48550/ARXIV.0910.0526MaRDI QIDQ140301arXivFDO

Authors Holger Hoefling

Publication date 3 October 2009

Published in arXiv

Full work available at URL https://doi.org/10.48550/ARXIV.0910.0526

arXiv classification

stat.COstat.ML

Abstract: The Lasso is a very well known penalized regression model, which adds an $L_1$ penalty with parameter $lambd{a}_1$ on the coefficients to the squared error loss function. The Fused Lasso extends this model by also putting an $L_1$ penalty with parameter $lambd{a}_2$ on the difference of neighboring coefficients, assuming there is a natural ordering. In this paper, we develop a fast path algorithm for solving the Fused Lasso Signal Approximator that computes the solutions for all values of $lambd{a}_1$ and $lambd{a}_2$. In the supplement, we also give an algorithm for the general Fused Lasso for the case with predictor matrix $$ with $$.

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