An alternating direction method for finding Dantzig selectors

Zhaosong Lu, Ting Kei Pong and Yong Zhang

Computational Statistics & Data Analysis, 2012, vol. 56, issue 12, 4037-4046

Abstract: In this paper, we study the alternating direction method for finding the Dantzig selectors, which are first introduced in Candès and Tao (2007a). In particular, at each iteration we apply the nonmonotone gradient method proposed in Lu and Zhang (in press) to approximately solve one subproblem of this method. We compare our approach with a first-order method proposed in Becker et al. (2011). The computational results show that our approach usually outperforms that method in terms of CPU time while producing solutions of comparable quality.

Keywords: Dantzig selector; Alternating direction method; Nonomonotone line search; Gradient method (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:12:p:4037-4046

DOI: 10.1016/j.csda.2012.04.019

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