A Unified Robust Regression Model for Lasso-like Algorithms

We develop a unified robust linear regression model and show that it is equivalent to a general regularization framework to encourage sparse-like structure that contains group Lasso and fused Lasso as specific examples. This provides a robustness interpretation of these widely applied Lasso-like algorithms, and allows us to construct novel generalizations of Lasso-like algorithms by considering different uncertainty sets. Using this robustness interpretation, we present new sparsity results, and establish the statistical consistency of the proposed regularized linear regression. This work extends a classical result from Xu et al. (2010) that relates standard Lasso with robust linear regression to learning problems with more general sparselike structures, and provides new robustnessbased tools to to understand learning problems with sparse-like structures.