Efficient block-coordinate descent algorithms for the Group Lasso

@article{Qin2013EfficientBD,
  title={Efficient block-coordinate descent algorithms for the Group Lasso},
  author={Zhiwei Qin and Katya Scheinberg and Donald Goldfarb},
  journal={Math. Program. Comput.},
  year={2013},
  volume={5},
  pages={143-169}
}
We present two algorithms to solve the Group Lasso problem [33]. First, we propose a general version of the Block Coordinate Descent (BCD) algorithm for the Group Lasso that employs an efficient approach for optimizing each subproblem exactly. We show that it exhibits excellent performance when the groups are of moderate size. For groups of large size, we propose an extension of ISTA/FISTA [2] based on variable step-lengths that can be viewed as a simplified version of BCD. By combining the two… CONTINUE READING
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