Properties and iterative methods for the \(Q\)-lasso (Q2015266)

Summary: We introduce the \(Q\)-lasso which generalizes the well-known lasso of \textit{R. Tibshirani} [J. R. Stat. Soc., Ser. B 58, No. 1, 267--288 (1996; Zbl 0850.62538)] with \(Q\) a closed convex subset of a Euclidean \(m\)-space for some integer \(m\geq 1\). This set \(Q\) can be interpreted as the set of errors within given tolerance level when linear measurements are taken to recover a signal/image via the lasso. Solutions of the \(Q\)-lasso depend on a tuning parameter \(\gamma\). In this paper, we obtain basic properties of the solutions as a function of \(\gamma\). Because of ill posedness, we also apply \(l_1-l_2\) regularization to the \(Q\)-lasso. In addition, we discuss iterative methods for solving the \(Q\)-lasso which include the proximal-gradient algorithm and the projection-gradient algorithm.