Algorithmic Analysis and Statistical Estimation of SLOPE via Approximate Message Passing

DOI10.1109/TIT.2020.3025272zbMath1473.62238arXiv1907.07502OpenAlexW3088518194MaRDI QIDQ5151728

Weijie J. Su, Cynthia Rush, Jason M. Klusowski, Zhiqi Bu

Publication date: 22 February 2021

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.07502

zbMATH Keywords

SLOPEhigh-dimensional linear regressionapproximate message passing (AMP)convex optimization procedure

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (7)

Fundamental barriers to high-dimensional regression with convex penalties ⋮ Approximate message passing algorithms for rotationally invariant matrices ⋮ Proximal operator for the sorted \(\ell_1\) norm: application to testing procedures based on SLOPE ⋮ Characterizing the SLOPE trade-off: a variational perspective and the Donoho-Tanner limit ⋮ Debiasing convex regularized estimators and interval estimation in linear models ⋮ Precise statistical analysis of classification accuracies for adversarial training ⋮ A Unifying Tutorial on Approximate Message Passing

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