lasso

PARNES: A rapidly convergent algorithm for accurate recovery of sparse and approximately sparse signals

  • Ming Gu
  • Lek-Heng Lim
  • Cinna Julie Wu
    • Categories Constrained Nonlinear Optimization, Convex Optimization, Optimization Software Benchmark Tags , , , , , , ,

    In this article we propose an algorithm, NESTA-LASSO, for the LASSO problem (i.e., an underdetermined linear least-squares problem with a one-norm constraint on the solution) that exhibits linear convergence under the restricted isometry property (RIP) and some other reasonable assumptions. Inspired by the state-of-the-art sparse recovery method, NESTA, we rely on an accelerated proximal gradient … Read more

    LASSO-Patternsearch Algorithm with Application to Ophthalmology and Genomic Data

  • Barbara Klein
  • Stephen Wright
  • Ronald Klein
  • Kristine Lee
  • Weiliang Shi
  • Grace Wahba
    • Categories Nonsmooth Optimization, Statistics Tags , ,

    The LASSO-Patternsearch algorithm is proposed as a two-step method to identify clusters or patterns of multiple risk factors for outcomes of interest in demographic and genomic studies. The predictor variables are dichotomous or can be coded as dichotomous. Many diseases are suspected of having multiple interacting risk factors acting in concert, and it is of … Read more