6533b871fe1ef96bd12d21f3
RESEARCH PRODUCT
Differential geometric LARS via cyclic coordinate descent method
L AugugliaroA MineoE Witsubject
Cyclic coordinate descent method Differential geometry dgLARS Generalized linear models LARS Sparse models Variable selectionSettore SECS-S/01 - Statisticadescription
We address the problem of how to compute the coefficient path implicitly defined by the differential geometric LARS (dgLARS) method in a high-dimensional setting. Although the geometrical theory developed to define the dgLARS method does not need of the definition of a penalty function, we show that it is possible to develop a cyclic coordinate descent algorithm to compute the solution curve in a high-dimensional setting. Simulation studies show that the proposed algorithm is significantly faster than the prediction-corrector algorithm originally developed to compute the dgLARS solution curve.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2012-01-01 |