A simple and efficient algorithm for fused lasso signal approximator with convex loss function

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A simple and efficient algorithm for fused lasso signal approximator with convex loss function

หน่วยงาน Nanyang Technological University, Singapore

รายละเอียด

ชื่อเรื่อง	:	A simple and efficient algorithm for fused lasso signal approximator with convex loss function
นักวิจัย	:	Wang, Lichun , You, Yuan , Lian, Heng
คำค้น	:	-
หน่วยงาน	:	Nanyang Technological University, Singapore
ผู้ร่วมงาน	:	-
ปีพิมพ์	:	2555
อ้างอิง	:	Wang, L., You, Y.,& Lian, H. (2013). A simple and efficient algorithm for fused lasso signal approximator with convex loss function. Computational Statistics, 28(4), 1699-1714. , http://hdl.handle.net/10220/13109 , http://dx.doi.org/10.1007/s00180-012-0373-6
ที่มา	:	-
ความเชี่ยวชาญ	:	-
ความสัมพันธ์	:	Computational statistics
ขอบเขตของเนื้อหา	:	-
บทคัดย่อ/คำอธิบาย	:	We consider the augmented Lagrangian method (ALM) as a solver for the fused lasso signal approximator (FLSA) problem. The ALM is a dual method in which squares of the constraint functions are added as penalties to the Lagrangian. In order to apply this method to FLSA, two types of auxiliary variables are introduced to transform the original unconstrained minimization problem into a linearly constrained minimization problem. Each updating in this iterative algorithm consists of just a simple one-dimensional convex programming problem, with closed form solution in many cases. While the existing literature mostly focused on the quadratic loss function, our algorithm can be easily implemented for general convex loss. We also provide some convergence analysis of the algorithm. Finally, the method is illustrated with some simulation datasets.
บรรณานุกรม	:	APA Chicago MLA Vancouver Wang, Lichun , You, Yuan , Lian, Heng . (2555). A simple and efficient algorithm for fused lasso signal approximator with convex loss function. กรุงเทพมหานคร : Nanyang Technological University, Singapore. Wang, Lichun , You, Yuan , Lian, Heng . 2555. "A simple and efficient algorithm for fused lasso signal approximator with convex loss function". กรุงเทพมหานคร : Nanyang Technological University, Singapore. Wang, Lichun , You, Yuan , Lian, Heng . "A simple and efficient algorithm for fused lasso signal approximator with convex loss function." กรุงเทพมหานคร : Nanyang Technological University, Singapore, 2555. Print. Wang, Lichun , You, Yuan , Lian, Heng . A simple and efficient algorithm for fused lasso signal approximator with convex loss function. กรุงเทพมหานคร : Nanyang Technological University, Singapore; 2555.