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Safe screening tests for lasso based on firmly non-expansiveness

Cédric Herzet 1 A Malti 2
1 FLUMINANCE - Fluid Flow Analysis, Description and Control from Image Sequences
IRMAR - Institut de Recherche Mathématique de Rennes, IRSTEA - Institut national de recherche en sciences et technologies pour l'environnement et l'agriculture, Inria Rennes – Bretagne Atlantique
Abstract : This paper 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 out-performs the best methodology of the state of the art, namely the GAP test derived by Fercoq et al.
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Submitted on : Monday, December 19, 2016 - 11:31:13 AM
Last modification on : Friday, January 8, 2021 - 3:41:08 AM
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  • HAL Id : hal-01419314, version 1

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Cédric Herzet, A Malti. Safe screening tests for lasso based on firmly non-expansiveness. IEEE International conference on acoustics, speech and signal processing (ICASSP’16), Mar 2016, Shanghai, China. ⟨hal-01419314⟩

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