Iteratively Reweighted Group Lasso Based on Log-Composite Regularization

DOI10.1137/20M1349072zbMath1476.62157OpenAlexW3194354482MaRDI QIDQ5161764

Yifei Lou, Chengyu Ke, Sunyoung Shin, Miju Ahn

Publication date: 1 November 2021

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1349072

zbMATH Keywords

variable selectiongroup sparsitynonconvex regularizationiteratively reweighted algorithmdirectional stationarity

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Genetics and epigenetics (92D10) Medical epidemiology (92C60)

Uses Software

• PDCO
• Yall1
• ElemStatLearn
• gglasso

Cites Work

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