Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory

zbMath1318.62237arXiv1301.4566MaRDI QIDQ2933910

Gianluigi Pillonetto, James V. Burke, Aleksandr Y. Aravkin

Publication date: 8 December 2014

Full work available at URL: https://arxiv.org/abs/1301.4566

zbMATH Keywords

nonsmooth optimizationinterior point methodsconvex analysisrobust inferencestatistical modelingKalman smoothingsparsity optimization

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Ridge regression; shrinkage estimators (Lasso) (62J07) Robustness and adaptive procedures (parametric inference) (62F35) Interior-point methods (90C51)

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