Coordinate optimization for generalized fused Lasso
Fused Lasso is one of extensions of Lasso to shrink differences of parameters. We focus on a general form of it called generalized fused Lasso (GFL). The optimization problem for GFL can be came down to that for generalized Lasso and can be solved via a path algorithm for generalized Lasso. Moreover...
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| Published in | Communications in statistics. Theory and methods Vol. 50; no. 24; pp. 5955 - 5973 |
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| Main Authors | , , , , |
| Format | Journal Article |
| Language | English |
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Philadelphia
Taylor & Francis
11.11.2021
Taylor & Francis Ltd |
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| Online Access | Get full text |
| ISSN | 0361-0926 1532-415X 1532-415X |
| DOI | 10.1080/03610926.2021.1931888 |
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| Abstract | Fused Lasso is one of extensions of Lasso to shrink differences of parameters. We focus on a general form of it called generalized fused Lasso (GFL). The optimization problem for GFL can be came down to that for generalized Lasso and can be solved via a path algorithm for generalized Lasso. Moreover, the path algorithm is implemented via the genlasso package in R. However, the genlasso package has some computational problems. Then, we apply a coordinate descent algorithm (CDA) to solve the optimization problem for GFL. We give update equations of the CDA in closed forms, without considering the Karush-Kuhn-Tucker conditions. Furthermore, we show an application of the CDA to a real data analysis. |
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| AbstractList | Fused Lasso is one of extensions of Lasso to shrink differences of parameters. We focus on a general form of it called generalized fused Lasso (GFL). The optimization problem for GFL can be came down to that for generalized Lasso and can be solved via a path algorithm for generalized Lasso. Moreover, the path algorithm is implemented via the genlasso package in R. However, the genlasso package has some computational problems. Then, we apply a coordinate descent algorithm (CDA) to solve the optimization problem for GFL. We give update equations of the CDA in closed forms, without considering the Karush-Kuhn-Tucker conditions. Furthermore, we show an application of the CDA to a real data analysis. |
| Author | Ohishi, M. Fukui, K. Yanagihara, H. Okamura, K. Itoh, Y. |
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| Cites_doi | 10.1111/j.1467-9868.2005.00490.x 10.1093/biomet/81.3.425 10.1016/j.jspi.2019.04.010 10.1080/01621459.2018.1529595 10.1111/j.2517-6161.1996.tb02080.x 10.1080/00401706.2015.1017115 10.1214/11-AOS878 10.1111/j.1467-9868.2005.00532.x 10.1198/016214506000000735 10.1214/07-AOAS131 |
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| Snippet | Fused Lasso is one of extensions of Lasso to shrink differences of parameters. We focus on a general form of it called generalized fused Lasso (GFL). The... |
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| SubjectTerms | Algorithms Coordinate descent algorithm Data analysis generalized fused Lasso generalized Lasso Hierarchies Kuhn-Tucker method Optimization |
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| Title | Coordinate optimization for generalized fused Lasso |
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