Lasso screening with a small regularization parameter

Yun Wang, Zhen James Xiang, Peter J. Ramadge

Research output: Chapter in Book/Report/Conference proceedingConference contribution

9 Scopus citations

Abstract

Screening for lasso problems is a means of quickly reducing the size of the dictionary needed to solve a given instance without impacting the optimality of the solution obtained. We investigate a sequential screening scheme using a selected sequence of regularization parameter values decreasing to the given target value. Using analytical and empirical means we give insight on how the values of this sequence should be chosen and show that well designed sequential screening yields significant improvement in dictionary reduction and computational efficiency for lightly regularized lasso problems.

Original languageEnglish (US)
Title of host publication2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings
Pages3342-3346
Number of pages5
DOIs
StatePublished - Oct 18 2013
Event2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Vancouver, BC, Canada
Duration: May 26 2013May 31 2013

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)1520-6149

Other

Other2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013
CountryCanada
CityVancouver, BC
Period5/26/135/31/13

All Science Journal Classification (ASJC) codes

  • Software
  • Signal Processing
  • Electrical and Electronic Engineering

Keywords

  • regularized regression
  • screening
  • sparse regression

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  • Cite this

    Wang, Y., Xiang, Z. J., & Ramadge, P. J. (2013). Lasso screening with a small regularization parameter. In 2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings (pp. 3342-3346). [6638277] (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). https://doi.org/10.1109/ICASSP.2013.6638277