Pathwise Coordinate Optimization for Sparse Learning: Algorithm and Theory

@article{Zhao2014PathwiseCO,
  title={Pathwise Coordinate Optimization for Sparse Learning: Algorithm and Theory},
  author={Tuo Zhao and Han Liu and Tong Zhang},
  journal={ArXiv},
  year={2014},
  volume={abs/1412.7477}
}
  • Tuo Zhao, Han Liu, Tong Zhang
  • Published 2014
  • Mathematics, Computer Science
  • ArXiv
  • The pathwise coordinate optimization is one of the most important computational frameworks for high dimensional convex and nonconvex sparse learning problems. It differs from the classical coordinate optimization algorithms in three salient features: {\it warm start initialization}, {\it active set updating}, and {\it strong rule for coordinate preselection}. Such a complex algorithmic structure grants superior empirical performance, but also poses significant challenge to theoretical analysis… CONTINUE READING
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