hsm: A Path-Based BCD for Proximal Function of Latent Group Lasso
Implementation of the block coordinate descent procedure for solving the proximal function of latent group Lasso, highlighted by decomposing a DAG into several non-overlapping path graphs, and getting closed-form solution for each path graph. The procedure was introduced as Algorithm 4 in Yan and Bien (2015) <https://arxiv.org/abs/1512.01631> "Hierarchical Sparse Modeling: A Choice of Two Regularizers", and the closed-form solution for each path graph is solved in Algorithm 3 of that paper.
- Xiaohan Yan <email@example.com>, Jacob Bien
- Date of publication
- 2016-06-09 07:56:49
- Xiaohan Yan <firstname.lastname@example.org>
- Find ancestor nodes for a node in DAG.
- Solves proximal operator of latent group Lasso in...
- Block coordinate descent based on path graphs for proximal...
- Solves proximal operator of latent group Lasso over a grid of...
- Computes the smallest lam value such that beta = 0.
- Find all path graphs originated from a given root.
- Generate 'assign' and 'w.assign'.
Files in this package