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Joint Screening Tests for LASSO

Cedric Herzet 1 Angélique Drémeau 2
1 SIMSMART - SIMulation pARTiculaire de Modèles Stochastiques
IRMAR - Institut de Recherche Mathématique de Rennes, Inria Rennes – Bretagne Atlantique
2 Lab-STICC_ENSTAB_CID_TOMS
Lab-STICC - Laboratoire des sciences et techniques de l'information, de la communication et de la connaissance
Abstract : This paper focusses on " safe " screening techniques for the LASSO problem. Motivated by the need for low-complexity algorithms, we propose a new approach, dubbed " joint screening test " , allowing to screen a set of atoms by carrying out one single test. The approach is particularized to two different sets of atoms, respectively expressed as sphere and dome regions. After presenting the mathematical derivations of the tests, we elaborate on their relative effectiveness and discuss the practical use of such procedures.
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Submitted on : Wednesday, March 21, 2018 - 9:43:56 AM
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Cedric Herzet, Angélique Drémeau. Joint Screening Tests for LASSO. ICASSP 2018 - IEEE International Conference on Acoustic, Speech and Signal Processing, Apr 2018, Calgary, Canada. pp.4084-4088, ⟨10.1109/ICASSP.2018.8462530⟩. ⟨hal-01739477⟩

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