Pathwise coordinate optimization
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Publication:2466463
DOI10.1214/07-AOAS131zbMATH Open1378.90064arXiv0708.1485MaRDI QIDQ2466463FDOQ2466463
Authors: Holger Höfling, Robert Tibshirani, Jerome H. Friedman, Trevor Hastie 
Publication date: 15 January 2008
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Abstract: We consider ``one-at-a-time coordinate-wise descent algorithms for a class of convex optimization problems. An algorithm of this kind has been proposed for the -penalized regression (lasso) in the literature, but it seems to have been largely ignored. Indeed, it seems that coordinate-wise algorithms are not often used in convex optimization. We show that this algorithm is very competitive with the well-known LARS (or homotopy) procedure in large lasso problems, and that it can be applied to related methods such as the garotte and elastic net. It turns out that coordinate-wise descent does not work in the ``fused lasso, however, so we derive a generalized algorithm that yields the solution in much less time that a standard convex optimizer. Finally, we generalize the procedure to the two-dimensional fused lasso, and demonstrate its performance on some image smoothing problems.
Full work available at URL: https://arxiv.org/abs/0708.1485
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