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Conference Papers Year : 2022

Beyond GAP screening for Lasso by exploiting new dual cutting half-spaces with supplementary material

Abstract

In this paper, we propose a novel safe screening test for Lasso. Our procedure is based on a safe region with a dome geometry and exploits a canonical representation of the set of half-spaces (referred to as "dual cutting half-spaces" in this paper) containing the dual feasible set. The proposed safe region is shown to be always included in the state-of-the-art "GAP Sphere" and "GAP Dome" proposed by Fercoq et al. (and strictly so under very mild conditions) while involving the same computational burden. Numerical experiments confirm that our new dome enables to devise more powerful screening tests than GAP regions and lead to significant acceleration to solve Lasso.
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Dates and versions

hal-03805966 , version 1 (07-10-2022)

Identifiers

  • HAL Id : hal-03805966 , version 1

Cite

Thu-Le Tran, Clément Elvira, Hong-Phuong Dang, Cédric Herzet. Beyond GAP screening for Lasso by exploiting new dual cutting half-spaces with supplementary material. Eusipco 2022 - 30th European Signal Processing Conference, Aug 2022, Belgrade, Serbia. pp.2056-2060. ⟨hal-03805966⟩
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