Consider the LASSO problem Compare the following algorithms. Try to write your code in a way that
Question:
Consider the LASSO problem
Compare the following algorithms. Try to write your code in a way that minimizes computational requirements; you may find the result in useful.
1. A coordinate-descent method.
2. A sub-gradient method.
3. A fast first-order algorithm.
Transcribed Image Text:
x 1 || Ax - y || 2 + A||x||1, 2
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Related Book For
Optimization Models
ISBN: 9781107050877
1st Edition
Authors: Giuseppe C. Calafiore, Laurent El Ghaoui
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