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Sparsity and smoothness via the fused lasso


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  • Robert Tibshirani
  • Michael Saunders
  • Saharon Rosset
  • Ji Zhu
  • Keith Knight
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    The lasso penalizes a least squares regression by the sum of the absolute values ("L" 1-norm) of the coefficients. The form of this penalty encourages sparse solutions (with many coefficients equal to 0). We propose the 'fused lasso', a generalization that is designed for problems with features that can be ordered in some meaningful way. The fused lasso penalizes the "L" 1-norm of both the coefficients and their successive differences. Thus it encourages sparsity of the coefficients and also sparsity of their differences-i.e. local constancy of the coefficient profile. The fused lasso is especially useful when the number of features "p" is much greater than "N", the sample size. The technique is also extended to the 'hinge' loss function that underlies the support vector classifier. We illustrate the methods on examples from protein mass spectroscopy and gene expression data. Copyright 2005 Royal Statistical Society.

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    Bibliographic Info

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society Series B.

    Volume (Year): 67 (2005)
    Issue (Month): 1 ()
    Pages: 91-108

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    Handle: RePEc:bla:jorssb:v:67:y:2005:i:1:p:91-108

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    Cited by:
    1. Nott, David J., 2008. "Predictive performance of Dirichlet process shrinkage methods in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3658-3669, March.
    2. Martin-Barragan, Belen & Lillo, Rosa & Romo, Juan, 2014. "Interpretable support vector machines for functional data," European Journal of Operational Research, Elsevier, vol. 232(1), pages 146-155.
    3. Hess, Wolfgang & Persson, Maria & Rubenbauer, Stephanie & Gertheiss, Jan, 2013. "Using Lasso-Type Penalties to Model Time-Varying Covariate Effects in Panel Data Regressions – A Novel Approach Illustrated by the ‘Death of Distance’ in International Trade," Working Paper Series 961, Research Institute of Industrial Economics.
    4. Kato, Kengo, 2009. "On the degrees of freedom in shrinkage estimation," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1338-1352, August.
    5. Bang, Sungwan & Jhun, Myoungshic, 2012. "Simultaneous estimation and factor selection in quantile regression via adaptive sup-norm regularization," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 813-826.
    6. Aytug, Haldun & Sayın, Serpil, 2012. "Exploring the trade-off between generalization and empirical errors in a one-norm SVM," European Journal of Operational Research, Elsevier, vol. 218(3), pages 667-675.
    7. Deren Han & Xiaoming Yuan & Wenxing Zhang & Xingju Cai, 2013. "An ADM-based splitting method for separable convex programming," Computational Optimization and Applications, Springer, vol. 54(2), pages 343-369, March.
    8. Korobilis, Dimitris, 2011. "Hierarchical shrinkage priors for dynamic regressions with many predictors," MPRA Paper 30380, University Library of Munich, Germany.
    9. Baragatti, M. & Pommeret, D., 2012. "A study of variable selection using g-prior distribution with ridge parameter," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1920-1934.
    10. Korzeń, M. & Jaroszewicz, S. & Klęsk, P., 2013. "Logistic regression with weight grouping priors," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 281-298.
    11. Daye, Z. John & Jeng, X. Jessie, 2009. "Shrinkage and model selection with correlated variables via weighted fusion," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1284-1298, February.
    12. Jiang, Liewen & Bondell, Howard D. & Wang, Huixia Judy, 2014. "Interquantile shrinkage and variable selection in quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 208-219.
    13. Mkhadri, Abdallah & Ouhourane, Mohamed, 2013. "An extended variable inclusion and shrinkage algorithm for correlated variables," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 631-644.
    14. Hong, Zhaoping & Lian, Heng, 2013. "Sparse-smooth regularized singular value decomposition," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 163-174.
    15. Lichun Wang & Yuan You & Heng Lian, 2013. "A simple and efficient algorithm for fused lasso signal approximator with convex loss function," Computational Statistics, Springer, vol. 28(4), pages 1699-1714, August.
    16. Ye, Gui-Bo & Xie, Xiaohui, 2011. "Split Bregman method for large scale fused Lasso," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1552-1569, April.


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