Homotopy methods follow a regularization path and add one component at a time. For very sparse solutions, this can be efficient. When the solutions are not very sparse, these methods are generally not competitive with alternative solvers.
- ↑ B. Efron, T. Hastie, I. Johnstone, and R. Tibshirani, Least angle regression, Ann. Statist. 32 (2004), no. 2, 407--499. link
- ↑ M. R. Osborne, B. Presnell, and B. A. Turlach, A new approach to variable selection in least squares problems, IMA J. Numer. Anal. 20 (2000), no. 3, 389--403.
- ↑ G. James, P. Radchenko, and J. Lv, DASSO: Connections Between the Dantzig Selector and Lasso, J. Roy. Statist. Soc., Ser. B 71 (2009), 127--142.
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