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.
|Number of pages||13|
|Publication status||Published - 2012|