Recursive ℓ1, ∞ Group Lasso

@article{Chen2012Recursive,
  title={Recursive ℓ1, ∞ Group Lasso},
  author={Yilun Chen and Alfred O. Hero},
  journal={IEEE Trans. Signal Processing},
  year={2012},
  volume={60},
  pages={3978-3987}
}
We introduce a recursive adaptive group lasso algorithm for real-time penalized least squares prediction that produces a time sequence of optimal sparse predictor coefficient vectors. At each time index the proposed algorithm computes an exact update of the optimal `1,∞-penalized recursive least squares (RLS) predictor. Each update minimizes a convex but nondifferentiable function optimization problem. We develop an online homotopy method to reduce the computational complexity. Numerical… CONTINUE READING
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