图 书 馆
一种有效融合套索问题的高效算法An Efficient Algorithm for a Class of Fused Lasso Problems |
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| 课程网址: | http://videolectures.net/kdd2010_liu_eacf/ |
| 主讲教师: | Jun Liu |
| 开课单位: | 亚利桑那州立大学 |
| 开课时间: | 2010-10-01 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | The fused Lasso penalty enforces sparsity in both the coefficients and their successive differences, which is desirable for applications with features ordered in some meaningful way. The resulting problem is, however, challenging to solve, as the fused Lasso penalty is both non-smooth and non-separable. Existing algorithms have high computational complexity and do not scale to large-size problems. In this paper, we propose an Efficient Fused Lasso Algorithm (EFLA) for optimizing this class of problems. One key building block in the proposed EFLA is the Fused Lasso Signal Approximator (FLSA). To efficiently solve FLSA, we propose to reformulate it as the problem of finding an ``appropriate" subgradient of the fused penalty at the minimizer, and develop a Subgradient Finding Algorithm (SFA). We further design a restart technique to accelerate the convergence of SFA, by exploiting the special ``structures" of both the original and the reformulated FLSA problems. Our empirical evaluations show that, both SFA and EFLA significantly outperform existing solvers. We also demonstrate several applications of the fused Lasso. |
| 关 键 词: | 融合套索算法; 线性分析; 重启技术 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-12-27：lxf |
| 阅读次数: | 48 |