An alternating direction method for finding Dantzig selectors

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Dec 2012Embargo end date: 01 Jan 2010 English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 56, pages 4,037-4,046 (issn: 0167-9473,

Copyright policy )Funded by:NSERC | unidentified

Authors: Zhaosong Lu; Ting Kei Pong; Yong Zhang 0004;

doi: 10.1016/j.csda.2012.04.019 , 10.48550/arxiv.1011.4604

arXiv: 1011.4604

An alternating direction method for finding Dantzig selectors

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Abstract

In this paper, we study the alternating direction method for finding the Dantzig selectors, which are first introduced in [8]. In particular, at each iteration we apply the nonmonotone gradient method proposed in [17] to approximately solve one subproblem of this method. We compare our approach with a first-order method proposed in [3]. The computational results show that our approach usually outperforms that method in terms of CPU time while producing solutions of comparable quality.

13 pages, 4 figures

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Keywords

FOS: Computer and information sciences, gradient method, Applications of mathematical programming, nonomonotone line search, Computational problems in statistics, Nonparametric estimation, Statistics - Computation, Computation (stat.CO)

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