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A PRIMAL AND DUAL ACTIVE SET ALGORITHM FOR TRUNCATED L1 REGULARIZED LOGISTIC REGRESSION

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单位: [1]Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China [2]Duke NUS Med Sch, Ctr Quantitat Med, Singapore 169857, Singapore [3]Huazhong Univ Sci & Technol, Tongji Hosp, Tongji Med Coll, Dept Anesthesiol, Wuhan 430030, Hubei, Peoples R China
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关键词: Truncated L-1 regularization sparse KKT conditions logistic regression SPDAS

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Truncated L-1 regularization [2] is one type of approximation to the original L-0 regularization, and it admits the hard thresholding operator. Thus we consider the truncated L-1 regularization for variable selection and estimation in the high-dimensional and sparse logistic regression models. Computationally, motivated by the KKT conditions of the truncated L-1 regularized problem, we propose a primal and dual active set algorithm (PDAS). In PDAS, it first distinguishes the active sets with small size through the primal and dual variables in the previous iteration, then the primal variable is updated by the maximum likelihood estimation limited to the active set and the dual variable is updated explicitly based on the gradient information. Further, we consider a sequential PDAS (SPDAS) with a warm-start and continual strategy. Numerous simulation studies illustrate the effectiveness of the proposed method, and the application is also demonstrate by analysing some binary classification data sets.

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出版当年[2022]版:
大类 | 4 区 工程技术
小类 | 4 区 运筹学与管理科学 4 区 数学跨学科应用 4 区 工程:综合
最新[2025]版:
大类 | 4 区 工程技术
小类 | 4 区 工程:综合 4 区 数学跨学科应用 4 区 运筹学与管理科学
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出版当年[2021]版:
Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Q4 ENGINEERING, MULTIDISCIPLINARY Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
最新[2023]版:
Q3 ENGINEERING, MULTIDISCIPLINARY Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

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第一作者单位: [1]Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China [2]Duke NUS Med Sch, Ctr Quantitat Med, Singapore 169857, Singapore
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