The dual and degrees of freedom of linearly constrained generalized Lasso

DOI10.1016/J.CSDA.2014.12.010MaRDI QIDQ1663318zbMATH OpenOpenAlexFDO

Authors Qinqin Hu, Peng Zeng, Lu Lin

Publication date 21 August 2018

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

Full work available at URL https://doi.org/10.1016/j.csda.2014.12.010

zbMATH Keywords

Lassoconstrained optimizationdegrees of freedomcoordinate descentdualityKKT condition

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

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• Pathwise coordinate optimization
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• The Adaptive Lasso and Its Oracle Properties
• The Estimation of Prediction Error
• The solution path of the generalized lasso
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Vast portfolio selection with gross-exposure constraints

Cited in

(9)

• Penalized and constrained LAD estimation in fixed and high dimension
• Degrees of freedom for regularized regression with Huber loss and linear constraints
• A cost-sensitive constrained Lasso
• Generalized \(\ell_1\)-penalized quantile regression with linear constraints
• Mini-batch stochastic subgradient for functional constrained optimization
• Geometry and degrees of freedom of linearly constrained generalized Lasso
• Algorithms for Fitting the Constrained Lasso
• LASSO for Stochastic Frontier Models with Many Efficient Firms
• Efficient path algorithms for clustered Lasso and OSCAR

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