A simple and efficient algorithm for fused lasso signal approximator with convex loss function

• Main Authors: You, Yuan, Lian, Heng, Wang, Lichun
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Science::Mathematics
• Online Access: https://hdl.handle.net/10356/107175; http://hdl.handle.net/10220/17942; http://dx.doi.org/10.1007/s00180-012-0373-6
• Institution: Nanyang Technological University

We consider the augmented Lagrangian method (ALM) as a solver for the fused lasso signal approximator (FLSA) problem. The ALM is a dual method in which squares of the constraint functions are added as penalties to the Lagrangian. In order to apply this method to FLSA, two types of auxiliary variable...