The Solution Path of the Generalized Lasso

@inproceedings{Tibshirani2013TheSP,
  title={The Solution Path of the Generalized Lasso},
  author={Ryan J. Tibshirani and Jonathan Taylor},
  year={2013}
}
We present a path algorithm for the generalized lasso problem. This problem penalizes the `1 norm of a matrix D times the coefficient vector, and has a wide range of applications, dictated by the choice of D. Our algorithm is based on solving the dual of the generalized lasso, which facilitates computation and conceptual understanding of the path. For D = I (the usual lasso), we draw a connection between our approach and the well-known LARS algorithm. For an arbitrary D, we derive an unbiased… CONTINUE READING
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