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

• Main Authors: Wang, Lichun, You, Yuan, Lian, Heng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2013
• Online Access: https://hdl.handle.net/10356/96858; http://hdl.handle.net/10220/13109
• 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...