R package SparseNet: coordinate descent with nonconvex penalties. We address the problem of sparse selection in linear models. A number of nonconvex penalties have been proposed in the literature for this purpose, along with a variety of convex-relaxation algorithms for finding good solutions. We pursue a coordinate-descent approach for optimization, and study its convergence properties. We characterize the properties of penalties suitable for this approach, study their corresponding threshold functions, and describe a df-standardizing reparametrization that assists our pathwise algorithm. The MC+ penalty is ideally suited to this task, and we use it to demonstrate the performance of our algorithm. Certain technical derivations and experiments related to this article are included in the supplementary materials section.
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References in zbMATH (referenced in 71 articles , 1 standard article )
Showing results 61 to 71 of 71.
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- Wen, Zaiwen; Goldfarb, Donald; Scheinberg, Katya: Block coordinate descent methods for semidefinite programming (2012)
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- Huang, Jian; Ma, Shuangge; Li, Hongzhe; Zhang, Cun-Hui: The sparse Laplacian shrinkage estimator for high-dimensional regression (2011)
- Mazumder, Rahul; Friedman, Jerome H.; Hastie, Trevor: SparseNet: coordinate descent with nonconvex penalties (2011)
- Yen, Tso-Jung: A majorization-minimization approach to variable selection using spike and slab priors (2011)
- Schifano, Elizabeth D.; Strawderman, Robert L.; Wells, Martin T.: Majorization-minimization algorithms for nonsmoothly penalized objective functions (2010)