Strong convergence of a modified proximal algorithm for solving the lasso. (English) Zbl 1384.90095
Summary: As is well known the proximal iterative method can be used to solve the lasso of R. Tibshirani [J. R. Stat. Soc., Ser. B 58, No. 1, 267–288 (1996; Zbl 0850.62538)]. In this paper, we first propose a modified proximal iterative method based on the viscosity approximation method to obtain strong convergence, then we apply this method to solve the lasso.
MSC:
| 90C30 | Nonlinear programming |
| 62J05 | Linear regression; mixed models |
| 62J07 | Ridge regression; shrinkage estimators (Lasso) |
| 65K15 | Numerical methods for variational inequalities and related problems |
| 90C26 | Nonconvex programming, global optimization |
Citations:
Zbl 0850.62538Software:
PDCOReferences:
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