Online Hyperparameter-Free Sparse Estimation Method
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Publication:4580648
DOI10.1109/TSP.2015.2421472zbMATH Open1394.94677arXiv1505.01461OpenAlexW2029108056MaRDI QIDQ4580648FDOQ4580648
Publication date: 22 August 2018
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Abstract: In this paper we derive an online estimator for sparse parameter vectors which, unlike the LASSO approach, does not require the tuning of any hyperparameters. The algorithm is based on a covariance matching approach and is equivalent to a weighted version of the square-root LASSO. The computational complexity of the estimator is of the same order as that of the online versions of regularized least-squares (RLS) and LASSO. We provide a numerical comparison with feasible and infeasible implementations of the LASSO and RLS to illustrate the advantage of the proposed online hyperparameter-free estimator.
Full work available at URL: https://arxiv.org/abs/1505.01461
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