Pathwise Coordinate Optimization

@inproceedings{Friedman2007PathwiseCO,
  title={Pathwise Coordinate Optimization},
  author={Jerome H. Friedman and Trevor J. Hastie and Holger H{\"o}fling and Robert Tibshirani},
  year={2007}
}
We consider “one-at-a-time” coordinate-wise descent algorithms for a class of convex optimization problems. An algorithm of this kind has been proposed for the L1-penalized regression (lasso) in the literature, but it seems to have been largely ignored. Indeed, it seems that coordinate-wise algorithms are not often used in convex optimization. We show that this algorithm is very competitive with the well-known LARS (or homotopy) procedure in large lasso problems, and that it can be applied to… CONTINUE READING
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