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Reports (Research Report) Year : 2015

Safe screening tests for lasso based on firmly non-expansiveness

Abstract

This technical report focusses on safe screening techniques for the LASSO problem. We derive a new sphere test, coined RFNE, exploiting the firmly non-expansiveness of projection operators. Our test generalizes some methods of the literature but, unlike the latter, exploits approximated primal-dual solutions of the LASSO problem while remaining safe and effective. Our simulation results show that the proposed RFNE test outperforms the best methodology of the state of the art, namely the GAP test derived by Fercoq et al.
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Dates and versions

hal-01260129 , version 1 (21-01-2016)

Identifiers

  • HAL Id : hal-01260129 , version 1

Cite

Cédric Herzet, Abed Malti. Safe screening tests for lasso based on firmly non-expansiveness. [Research Report] INRIA. 2015. ⟨hal-01260129⟩
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