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Fixed bugs
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yngvem committed Jul 19, 2019
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Expand Up @@ -214,20 +214,20 @@ The todos are, in decreasing order of importance
3. Sparse group lasso
- The proximal operator can be computed using the closed-form solution in
[4]_.
[3]_.
4. Overlapping groups sparse group lasso
- The proximal operator can be computed using the dual-form in [4]_.
- The proximal operator can be computed using the dual-form in [3]_.
Unfortunately, the most interesting parts are the least important ones, so
expect the list to be worked on from both ends simultaneously.
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Implementation details
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The problem is solved using the FISTA optimiser [3] with a gradient-based
adaptive restarting scheme [4]. No line search is currently implemented, but
The problem is solved using the FISTA optimiser [4] with a gradient-based
adaptive restarting scheme [5]. No line search is currently implemented, but
I hope to look at that later.
Although fast, the FISTA optimiser does not achieve as low loss values as the
Expand Down Expand Up @@ -260,15 +260,15 @@ References
A sparse-group lasso. Journal of Computational and Graphical
Statistics, 22(2), 231-245.
.. [3] Beck, A. and Teboulle, M. (2009), A Fast Iterative
.. [3] Yuan L, Liu J, Ye J. (2011), Efficient methods for overlapping
group lasso. Advances in Neural Information Processing Systems
(pp. 352-360).
.. [4] Beck, A. and Teboulle, M. (2009), A Fast Iterative
Shrinkage-Thresholding Algorithm for Linear Inverse Problems.
SIAM Journal on Imaging Sciences 2009 2:1, 183-202.
doi:10.1137/080716542
.. [4] O’Donoghue, B. & Candès, E. (2015), Adaptive Restart for
.. [5] O’Donoghue, B. & Candès, E. (2015), Adaptive Restart for
Accelerated Gradient Schemes. Found Comput Math 15: 715.
doi:10.1007/s10208-013-9150-
.. [5] Yuan L, Liu J, Ye J. (2011), Efficient methods for overlapping
group lasso. Advances in Neural Information Processing Systems
(pp. 352-360).

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