Robust High Dimensional Sparse Regression and Matching Pursuit

@article{Chen2013RobustHD,
  title={Robust High Dimensional Sparse Regression and Matching Pursuit},
  author={Yudong Chen and Constantine Caramanis and Shie Mannor},
  journal={CoRR},
  year={2013},
  volume={abs/1301.2725}
}
In this paper we consider high dimensional sparse regression, and develop strategies able to deal with arbitrary – possibly, severe or coordinated – errors in the covariance matrix X . These may come from corrupted data, persistent experimental errors, or malicious respondents in surveys/recommender systems, etc. Such non-stochastic error-invariables problems are notoriously difficult to treat, and as we demonstrate, the problem is particularly pronounced in high-dimensional settings where the… CONTINUE READING
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