Tradeoffs in improved screening of lasso problems

Yun Wang, Zhen James Xiang, Peter Jeffrey Ramadge

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

7 Scopus citations

Abstract

Recently, methods of screening the lasso problem have been developed that use the target vector x to quickly identify a subset of columns of the dictionary that will receive zero weight in the solution. Current classes of screening tests are based on bounding the dual lasso solution within a sphere or the intersection of a sphere and a half space. Stronger tests are possible but are more complex and incur a higher computational cost. To investigate this, we determine the optimal screening test when the dual lasso solution is bounded within the intersection of a sphere and two half spaces, and empirically investigate the trade-off that this test makes between screening power and computational efficiency. We also compare its performance both in terms of rejection power and efficiency to existing test classes. The new test always has better rejection, and for an interesting range of regularization parameters, offers better computational efficiency.

Original languageEnglish (US)
Title of host publication2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings
Pages3297-3301
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

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

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    Wang, Y., Xiang, Z. J., & Ramadge, P. J. (2013). Tradeoffs in improved screening of lasso problems. In 2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings (pp. 3297-3301). [6638268] https://doi.org/10.1109/ICASSP.2013.6638268