• Corpus ID: 15711052

From safe screening rules to working sets for faster Lasso-type solvers

@article{Massias2017FromSS,
  title={From safe screening rules to working sets for faster Lasso-type solvers},
  author={Mathurin Massias and Alexandre Gramfort and Joseph Salmon},
  journal={ArXiv},
  year={2017},
  volume={abs/1703.07285}
}
Convex sparsity-promoting regularizations are ubiquitous in modern statistical learning. By construction, they yield solutions with few non-zero coefficients, which correspond to saturated constraints in the dual optimization formulation. Working set (WS) strategies are generic optimization techniques that consist in solving simpler problems that only consider a subset of constraints, whose indices form the WS. Working set methods therefore involve two nested iterations: the outer loop… 

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