Gradient-based Regularization Parameter Selection for Problems With Nonsmooth Penalty Functions

DOI10.1080/10618600.2017.1390470OpenAlexW2608771001MaRDI QIDQ3391123

Noah Robin Simon, Jean Feng

Publication date: 28 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.09813

zbMATH Keywords

optimizationregularizationcross-validationhigh-dimensional regression

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models, The Generalized Ridge Estimator of the Inverse Covariance Matrix, An Iterative Sparse-Group Lasso

Uses Software

• glasso
• CVXPY
• Spearmint
• Hyperopt
• SMAC

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