A fast splitting method tailored for Dantzig selector

Hongjin He (), Xingju Cai () and Deren Han ()

Computational Optimization and Applications, 2015, vol. 62, issue 2, 347-372

Abstract: In this paper, we introduce a splitting method for solving Dantzig selector problem, a new linear regression model that was extensively studied in the literature in the past few years. The new method is very simple in the sense that, per iteration, it only performs a projection onto a box, and does some matrix-vector products. We prove the global convergence of the method and report some promising numerical results, which demonstrate that the new method is competitive with some state-of-the-art methods recently developed in the literature. Copyright Springer Science+Business Media New York 2015

Keywords: Fast splitting method; Dantzig selector; Linear regression; Alternating direction method of multipliers (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s10589-015-9748-2 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:coopap:v:62:y:2015:i:2:p:347-372

Ordering information: This journal article can be ordered from
http://www.springer.com/math/journal/10589

DOI: 10.1007/s10589-015-9748-2

Access Statistics for this article

Computational Optimization and Applications is currently edited by William W. Hager

More articles in Computational Optimization and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().