Finding Dantzig selectors with a proximity operator based fixed-point algorithm

DOI10.1016/J.CSDA.2015.04.005MaRDI QIDQ1663200zbMATH OpenOpenAlexFDO

Authors Ashley Prater, Bruce W. Suter, Lixin Shen

Publication date 21 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.05571

zbMATH Keywords

alternating direction methodproximity operatorfixed-point algorithmDantzig selector

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05)

Abstract: In this paper, we study a simple iterative method for finding the Dantzig selector, which was designed for linear regression problems. The method consists of two main stages. The first stage is to approximate the Dantzig selector through a fixed-point formulation of solutions to the Dantzig selector problem. The second stage is to construct a new estimator by regressing data onto the support of the approximated Dantzig selector. We compare our method to an alternating direction method, and present the results of numerical simulations using both the proposed method and the alternating direction method on synthetic and real data sets. The numerical simulations demonstrate that the two methods produce results of similar quality, however the proposed method tends to be significantly faster.

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Cited in

(8)

• A fast splitting method tailored for Dantzig selector
• An alternating direction method for finding Dantzig selectors
• The linearized alternating direction method of multipliers for Dantzig selector
• A partially proximal linearized alternating minimization method for finding Dantzig selectors
• Nonconvex Dantzig selector and its parallel computing algorithm
• Sparse recovery: the square of \(\ell_1/\ell_2\) norms
• The constrained Dantzig selector with enhanced consistency
• Efficient sparse Hessian-based semismooth Newton algorithms for Dantzig selector

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Uses Software

• TFOCS

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