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Sparse Relaxed Regularized Regression: SR3. (arXiv:1807.05411v1 [stat.ML])
来源于:arXiv
Regularized regression problems are ubiquitous in statistical modeling,
signal processing, and machine learning. Sparse regression in particular has
been instrumental in scientific model discovery, including compressed sensing
applications, variable selection, and high-dimensional analysis. We propose a
new and highly effective approach for regularized regression, called SR3.
The key idea is to solve a relaxation of the regularized problem, which has
three advantages over the state-of-the-art: (1) solutions of the relaxed
problem are superior with respect to errors, false positives, and conditioning,
(2) relaxation allows extremely fast algorithms for both convex and nonconvex
formulations, and (3) the methods apply to composite regularizers such as total
variation (TV) and its nonconvex variants. We demonstrate the improved
performance of SR3 across a range of regularized regression problems with
synthetic and real data, including compressed sensing, LASSO, matrix completion
and TV re 查看全文>>