2010 AnEfficientAlgorithmforaClassof

• (Liu et al., 2010) ⇒ Jun Liu, Lei Yuan, and Jieping Ye. (2010). “Computationally Expensive Algorithm An Efficient Algorithm for a Class of Fused Lasso Problems.” In: Proceedings of the 16th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining (KDD-2010). doi:10.1145/1835804.1835847

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Cited By

• http://scholar.google.com/scholar?q=%22An+efficient+algorithm+for+a+class+of+fused+lasso+problems%22+2010
• http://portal.acm.org/citation.cfm?id=1835847&preflayout=flat#citedby

Quotes

Author Keywords

Fused Lasso, ℓ1 regularization, restart, subgradient

Abstract

The fused Lasso penalty enforces sparsity in both the coefficients and their successive differences, which is desirable for applications with features ordered in some meaningful way. The resulting problem is, however, challenging to solve, as the fused Lasso penalty is both non-smooth and non-separable. Existing algorithms have high computational complexity and do not scale to large-size problems. In this paper, we propose an Efficient Fused Lasso Algorithm (EFLA) for optimizing this class of problems. One key building block in the proposed EFLA is the Fused Lasso Signal Approximator (FLSA). To efficiently solve FLSA, we propose to reformulate it as the problem of finding an "appropriate" subgradient of the fused penalty at the minimizer, and develop a Subgradient Finding Algorithm (SFA). We further design a restart technique to accelerate the convergence of SFA, by exploiting the special “structures” of both the original and the reformulated FLSA problems. Our empirical evaluations show that, both SFA and EFLA significantly outperform existing solvers. We also demonstrate several applications of the fused Lasso.

References

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	Author	volume	Date Value	title	type	journal	titleUrl	doi	note	year
2010 AnEfficientAlgorithmforaClassof	Lei Yuan Jieping Ye Jun Liu			An Efficient Algorithm for a Class of Fused Lasso Problems		KDD-2010 Proceedings	http://www.public.asu.edu/~jye02/Publications/Papers/rp589f-liu.pdf	10.1145/1835804.1835847		2010