A gradient-based optimization algorithm for LASSO

@inproceedings{Kim2008AGO,
  title={A gradient-based optimization algorithm for LASSO},
  author={Kim},
  year={2008}
}
  • Kim
  • Published 2008
LASSO is a useful method for achieving both shrinkage and variable selection simultaneously. The main idea of LASSO is to use the L1 constraint in the regularization step which has been applied to various models such as wavelets, kernel machines, smoothing splines, and multiclass logistic models. We call such models with the L1 constraint generalized LASSO models. In this paper, we propose a new algorithm called the gradient LASSO algorithm for generalized LASSO. The gradient LASSO algorithm is… CONTINUE READING
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