We develop a cyclical blockwise coordinate descent algorithm for the multi-task Lasso that efficiently solves problems with thousands of features and tasks. The main result shows ...
LASSO (Least Absolute Shrinkage and Selection Operator) is a useful tool to achieve the shrinkage and variable selection simultaneously. Since LASSO uses the L1 penalty, the optim...
It has been shown that the problem of 1-penalized least-square regression commonly referred to as the Lasso or Basis Pursuit DeNoising leads to solutions that are sparse and there...
The group Lasso is an extension of the Lasso for feature selection on (predefined) non-overlapping groups of features. The non-overlapping group structure limits its applicability...