Differential geometric LARS via cyclic coordinate descent method

Research output: Contribution to conferenceOther

Abstract

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.
Original languageEnglish
Pages67-79
Number of pages13
Publication statusPublished - 2012

    Fingerprint

Cite this