THE SOLUTION PATH OF THE GENERALIZED LASSO
THE SOLUTION PATH OF THE GENERALIZED LASSO
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DOI：
10.1214/11-aos878
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发表时间：
2011-06-01
影响因子：
4.5
通讯作者：
Taylor, Jonathan
中科院分区：
文献类型：
--
作者：
Tibshirani, Ryan J.;Taylor, Jonathan
提出了一种求解广义套索问题的路径算法。该问题惩罚矩阵D的l(1)范数乘以系数向量，并且具有广泛的应用范围，由D的选择决定。我们的算法基于求解广义套索的对偶，这大大简化了路径的计算。对于D = I（通常的套索），我们在我们的方法和著名的LARS算法之间建立了联系。对于任意的D，我们得到了广义套索拟合自由度的无偏估计。在许多应用程序中，这种估计是非常直观的。
We present a path algorithm for the generalized lasso problem. This problem penalizes the l(1) norm of a matrix D times the coefficient vector, and has a wide range of applications, dictated by the choice of D. Our algorithm is based on solving the dual of the generalized lasso, which greatly facilitates computation of the path. For D = I (the usual lasso), we draw a connection between our approach and the well-known LARS algorithm. For an arbitrary D, we derive an unbiased estimate of the degrees of freedom of the generalized lasso fit. This estimate turns out to be quite intuitive in many applications.