Differential geometric LARS via cyclic coordinate descent method

Risultato della ricerca: Other

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.
Lingua originaleEnglish
Pagine67-79
Numero di pagine13
Stato di pubblicazionePublished - 2012

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