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Safe screening tests for lasso based on firmly non-expansiveness

Cédric Herzet 1 Abed Malti 2 
1 FLUMINANCE - Fluid Flow Analysis, Description and Control from Image Sequences
IRSTEA - Institut national de recherche en sciences et technologies pour l'environnement et l'agriculture, Inria Rennes – Bretagne Atlantique
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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https://hal.inria.fr/hal-01260129
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Submitted on : Thursday, January 21, 2016 - 3:33:37 PM
Last modification on : Saturday, June 25, 2022 - 7:47:19 PM
Long-term archiving on: : Friday, November 11, 2016 - 2:55:51 PM

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

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