The LASSO risk: asymptotic results and real world examples


We consider the problem of learning a coefficient vector x0 ∈ R from noisy linear observation y = Ax0 + w ∈ R. In many contexts (ranging from model selection to image processing) it is desirable to construct a sparse estimator x̂. In this case, a popular approach consists in solving an l1-penalized least squares problem known as the LASSO or Basis Pursuit… (More)


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