Composite Difference-Max Programs for Modern Statistical Estimation Problems

@article{Cui2018CompositeDP,
  title={Composite Difference-Max Programs for Modern Statistical Estimation Problems},
  author={Ying Cui and J. S. Pang and Bodhisattva Sen},
  journal={SIAM J. Optim.},
  year={2018},
  volume={28},
  pages={3344-3374}
}
Many modern statistical estimation problems are defined by three major components: a statistical model that postulates the dependence of an output variable on the input features; a loss function measuring the error between the observed output and the model predicted output; and a regularizer that controls the overfitting and/or variable selection in the model. We study the sampling version of this generic statistical estimation problem where the model parameters are estimated by empirical risk… 
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