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Coordinate Descent ...
Coordinate Descent for SLOPE
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- Larsson, Johan (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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- Klopfenstein, Quentin (författare)
- University of Luxembourg
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- Massias, Mathurin (författare)
- University of Lyon
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- Wallin, Jonas (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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Ruiz, Francisco (redaktör/utgivare)
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Dy, Jennifer (redaktör/utgivare)
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van de Meent, Jan-Willem (redaktör/utgivare)
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(creator_code:org_t)
- 2023
- 2023
- Engelska 20 s.
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Ingår i: Proceedings of the 26th international conference on artificial intelligence and statistics. ; 206, s. 4802-4821
- Relaterad länk:
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https://proceedings.... (free)
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https://lup.lub.lu.s...
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Abstract
Ämnesord
Stäng
- The lasso is the most famous sparse regression and feature selection method. One reason for its popularity is the speed at which the underlying optimization problem can be solved. Sorted L-One Penalized Estimation (SLOPE) is a generalization of the lasso with appealing statistical properties. In spite of this, the method has not yet reached widespread interest. A major reason for this is that current software packages that fit SLOPE rely on algorithms that perform poorly in high dimensions. To tackle this issue, we propose a new fast algorithm to solve the SLOPE optimization problem, which combines proximal gradient descent and proximal coordinate descent steps. We provide new results on the directional derivative of the SLOPE penalty and its related SLOPE thresholding operator, as well as provide convergence guarantees for our proposed solver. In extensive benchmarks on simulated and real data, we demonstrate our method's performance against a long list of competing algorithms.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Publikations- och innehållstyp
- kon (ämneskategori)
- ref (ämneskategori)