Coordinate great circle descent algorithm with application to single-index models

DOI10.4310/SII.2013.v6.n4.a9zbMath1326.62125WikidataQ41631776 ScholiaQ41631776MaRDI QIDQ896588

Yichao Wu, Peng Zeng

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

penalizationconstrained optimizationsingle-index modelcoordinate descent algorithmunit-norm constraint

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Applications of mathematical programming (90C90)

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