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The Well-Tempered Lasso

Author(s): Li, Yuanzhi; Singer, Yoram

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Abstract: We study the complexity of the entire regularization path for least squares regression with 1-norm penalty, known as the Lasso. Every regression parameter in the Lasso changes linearly as a function of the regularization value. The number of changes is regarded as the Lasso’s complexity. Experimental results using exact path following exhibit polynomial complexity of the Lasso in the problem size. Alas, the path complexity of the Lasso on artificially designed regression problems is exponential We use smoothed analysis as a mechanism for bridging the gap between worst case settings and the de facto low complexity. Our analysis assumes that the observed data has a tiny amount of intrinsic noise. We then prove that the Lasso’s complexity is polynomial in the problem size.
Publication Date: 2018
Citation: Li, Yuanzhi, and Yoram Singer. "The Well-Tempered Lasso." In Proceedings of the 35th International Conference on Machine Learning 80 (2018): pp. 3024-3032.
ISSN: 2640-3498
Pages: 3024 - 3032
Type of Material: Conference Article
Journal/Proceeding Title: Proceedings of the 35th International Conference on Machine Learning
Version: Final published version. Article is made available in OAR by the publisher's permission or policy.

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