Related papers: Exact block-wise optimization in group lasso and s…

We present a new approach to solve the sparse approximation or best subset selection problem, namely find a $k$-sparse vector ${\bf x}\in\mathbb{R}^d$ that minimizes the $\ell_2$ residual $\lVert A{\bf x}-{\bf y} \rVert_2$. We consider a…

This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for…

We propose a statistical adaptive procedure called SALSA for automatically scheduling the learning rate (step size) in stochastic gradient methods. SALSA first uses a smoothed stochastic line-search procedure to gradually increase the…

Spike sorting is a class of algorithms used in neuroscience to attribute the time occurences of particular electric signals, called action potential or spike, to neurons. We rephrase this problem as a particular optimization problem : Lasso…

Lazy search algorithms can efficiently solve problems where edge evaluation is the bottleneck in computation, as is the case for robotic motion planning. The optimal algorithm in this class, LazySP, lazily restricts edge evaluation to only…

Covariance regression offers an effective way to model the large covariance matrix with the auxiliary similarity matrices. In this work, we propose a sparse covariance regression (SCR) approach to handle the potentially high-dimensional…

We propose a rescaled LASSO, by premultipying the LASSO with a matrix term, namely linear unified LASSO (LLASSO) for multicollinear situations. Our numerical study has shown that the LLASSO is comparable with other sparse modeling…

Sparse linear regression -- finding an unknown vector from linear measurements -- is now known to be possible with fewer samples than variables, via methods like the LASSO. We consider the multiple sparse linear regression problem, where…

A significant hurdle for analyzing large sample data is the lack of effective statistical computing and inference methods. An emerging powerful approach for analyzing large sample data is subsampling, by which one takes a random subsample…

We study a generalized framework for structured sparsity. It extends the well-known methods of Lasso and Group Lasso by incorporating additional constraints on the variables as part of a convex optimization problem. This framework provides…

In statistics, the least absolute shrinkage and selection operator (Lasso) is a regression method that performs both variable selection and regularization. There is a lot of literature available, discussing the statistical properties of the…

This paper considers sparse linear discriminant analysis of high-dimensional data. In contrast to the existing methods which are based on separate estimation of the precision matrix $\O$ and the difference $\de$ of the mean vectors, we…

Iteratively reweighted least square (IRLS) is a popular approach to solve sparsity-enforcing regression problems in machine learning. State of the art approaches are more efficient but typically rely on specific coordinate pruning schemes.…

Penalized logistic regression is extremely useful for binary classification with large number of covariates (higher than the sample size), having several real life applications, including genomic disease classification. However, the…

In this paper, we propose an adaptive group Lasso deep neural network for high-dimensional function approximation where input data are generated from a dynamical system and the target function depends on few active variables or few linear…

In many scientific and engineering applications, covariates are naturally grouped. When the group structures are available among covariates, people are usually interested in identifying both important groups and important variables within…

We study the problem of estimating multiple linear regression equations for the purpose of both prediction and variable selection. Following recent work on multi-task learning Argyriou et al. [2008], we assume that the regression vectors…

We propose a novel approach to allocating resources for expensive simulations of high fidelity models when used in a multifidelity framework. Allocation decisions that distribute computational resources across several simulation models…

We study estimators with generalized lasso penalties within the computational sufficiency framework introduced by Vu (2018, arXiv:1807.05985). By representing these penalties as support functions of zonotopes and more generally Minkowski…

We study channel number reduction in combination with weight binarization (1-bit weight precision) to trim a convolutional neural network for a keyword spotting (classification) task. We adopt a group-wise splitting method based on the…