scientific article; zbMATH DE number 6472991

MaRDI QIDQ5502121zbMATH OpenFDO

Authors Xing Guo Li, Tuo Zhao, Han Liu, Xiaoming Yuan

Publication date 17 August 2015

Full work available at URL https://arxiv.org/abs/2006.15419, http://jmlr.csail.mit.edu/papers/v16/li15a.html

zbMATH Keywords

alternating direction method of multiplierslinear regressionrobustnesssparse precision matrix estimationtuning insensitiveness

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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• A dual semismooth Newton based augmented Lagrangian method for large-scale linearly constrained sparse group square-root Lasso problems
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• A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity
• An iterative algorithm for the square-root Lasso
• Joint estimation of precision matrices for long-memory time series
• A unified consensus-based parallel algorithm for high-dimensional regression with combined regularizations
• Feature splitting parallel algorithm for Dantzig selectors
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Describes a project that uses

Uses Software

• R
• huge
• glmnet

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