Search results for " Differential geometry"

Differential geometric LARS via cyclic coordinate descent method

2012

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.