CMStatistics 2015: Start Registration
View Submission - CMStatistics
Title: Accelerated proximal point methods for solving penalized regression problems Authors:  Sangkyun Lee - TU Dortmund University (Germany) [presenting]
Abstract: Efficient optimization methods to obtain solutions of penalized regression problems, especially in high dimensions, have been studied quite extensively in recent years, with their successful applications in machine learning, image processing, compressed sensing, and bioinformatics, just to name a few. Amongst them, proximal point methods and their accelerated variants have been quite competitive in many cases. These algorithms make use of special structures of problems, e.g. smoothness and separability, endowed by the choices of loss functions and regularizers. We will discuss two types of first-order proximal point algorithms, namely accelerated proximal gradient descent and accelerated proximal extra gradient techniques, focusing on the latter, in the context of Lasso and generalized Dantzig selector.