Corpus ID: 2759671

Mind the duality gap: safer rules for the Lasso

@article{Fercoq2015MindTD,
  title={Mind the duality gap: safer rules for the Lasso},
  author={Olivier Fercoq and A. Gramfort and J. Salmon},
  journal={ArXiv},
  year={2015},
  volume={abs/1505.03410}
}
Screening rules allow to early discard irrelevant variables from the optimization in Lasso problems, or its derivatives, making solvers faster. In this paper, we propose new versions of the so-called $\textit{safe rules}$ for the Lasso. Based on duality gap considerations, our new rules create safe test regions whose diameters converge to zero, provided that one relies on a converging solver. This property helps screening out more variables, for a wider range of regularization parameter values… Expand
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