منابع مشابه
Pathwise Coordinate Optimization
We consider “one-at-a-time” coordinate-wise descent algorithms for a class of convex optimization problems. An algorithm of this kind has been proposed for the L1-penalized regression (lasso) in the lterature, but it seems to have been largely ignored. Indeed, it seems that coordinate-wise algorithms are not often used in convex optimization. We show that this algorithm is very competitive with...
متن کاملPathwise Coordinate Optimization for Sparse
The pathwise coordinate optimization is one of the most important computational frameworks for high dimensional convex and nonconvex sparse learning problems. It differs from the classical coordinate optimization algorithms in three salient features: warm start initialization, active set updating, and strong rule for coordinate preselection. Such a complex algorithmic structure grants superior ...
متن کاملPathwise Coordinate Optimization for Sparse Learning: Algorithm and Theory
The pathwise coordinate optimization is one of the most important computational frameworks for high dimensional convex and nonconvex sparse learning problems. It differs from the classical coordinate optimization algorithms in three salient features: warm start initialization, active set updating, and strong rule for coordinate preselection. Such a complex algorithmic structure grants superior ...
متن کاملA General Theory of Pathwise Coordinate Optimization for Nonconvex Sparse Learning∗
The pathwise coordinate optimization is one of the most important computational frameworks for solving high dimensional convex and nonconvex sparse learning problems. It differs from the classical coordinate optimization algorithms in three salient features: warm start initialization, active set updating, and strong rule for coordinate preselection. These three features grant superior empirical...
متن کاملPathwise Optimization for Optimal Stopping Problems
W introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the “price”) of a high-dimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping problems as optimization problems over the space of martingales, which we dub the martingale duality approach. We demonstrate...
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ژورنال
عنوان ژورنال: The Annals of Applied Statistics
سال: 2007
ISSN: 1932-6157
DOI: 10.1214/07-aoas131