Finding Dantzig selectors with a proximity operator based fixed-point algorithm
From MaRDI portal
Publication:1663200
DOI10.1016/J.CSDA.2015.04.005zbMATH Open1468.62160arXiv1502.05571OpenAlexW2013210666MaRDI QIDQ1663200FDOQ1663200
Ashley Prater, Lixin Shen, Bruce W. Suter
Publication date: 21 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1502.05571
Recommendations
- An alternating direction method for finding Dantzig selectors
- A partially proximal linearized alternating minimization method for finding Dantzig selectors
- The sublinear operator method and selector problems
- A proximal point algorithm revisited and extended
- A primal-dual fixed point algorithm based on proximity operator for convex set constrained separable problems
- Proximal point algorithms for zero points of nonlinear operators
- A Proximal-Projection Method for Finding Zeros of Set-Valued Operators
- A proximal point algorithm for finding a common zero of a finite family of maximal monotone operators
- The proximal point algorithm revisited
- Approximate proximal point algorithms for finding zeroes of maximal monotone operators in Hilbert spaces
Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05)
Cites Work
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- Templates for convex cone problems with applications to sparse signal recovery
- Least angle regression. (With discussion)
- Title not available (Why is that?)
- Title not available (Why is that?)
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- High-dimensional graphs and variable selection with the Lasso
- Title not available (Why is that?)
- Regression Shrinkage and Selection via The Lasso: A Retrospective
- Sparsity and Smoothness Via the Fused Lasso
- Convex analysis and monotone operator theory in Hilbert spaces
- Smooth minimization of non-smooth functions
- An augmented Lagrangian approach for sparse principal component analysis
- DASSO: Connections Between the Dantzig Selector and Lasso
- Title not available (Why is that?)
- A first-order primal-dual algorithm for convex problems with applications to imaging
- A General Framework for a Class of First Order Primal-Dual Algorithms for Convex Optimization in Imaging Science
- The Linearized Alternating Direction Method of Multipliers for Dantzig Selector
- A proximity algorithm accelerated by Gauss–Seidel iterations for L1/TV denoising models
- Parallelism, uniqueness, and large-sample asymptotics for the Dantzig selector
- An alternating direction method for finding Dantzig selectors
- The dantzig selector for censored linear regression models
Cited In (4)
Uses Software
This page was built for publication: Finding Dantzig selectors with a proximity operator based fixed-point algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1663200)
