quadrupen (Q81123)
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Sparsity by Worst-Case Quadratic Penalties
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | quadrupen |
Sparsity by Worst-Case Quadratic Penalties |
Statements
18 December 2023
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Fits classical sparse regression models with efficient active set algorithms by solving quadratic problems as described by Grandvalet, Chiquet and Ambroise (2017) <arXiv:1210.2077>. Also provides a few methods for model selection purpose (cross-validation, stability selection).
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