A path algorithm for the Fused Lasso Signal

@inproceedings{Hoe2009APA,
  title={A path algorithm for the Fused Lasso Signal},
  author={Holger Hoe},
  year={2009}
}
  • Holger Hoe
  • Published 2009
The Lasso is a very well known penalized regression model, which adds an L1 penalty with parameter λ1 on the coe cients to the squared error loss function. The Fused Lasso extends this model by also putting an L1 penalty with parameter λ2 on the di erence of neighboring coe cients, assuming there is a natural ordering. In this paper, we develop a fast path algorithm for solving the Fused Lasso Signal Approximator that computes the solutions for all values of λ1 and λ2. In the supplement, we… CONTINUE READING
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