A Homotopy Recursive-in-Model-Order Algorithm for Weighted LASSO

0427989 - ÚTIA 2015 RIV IT eng C - Konferenční příspěvek (zahraniční konf.)
Koldovský, Zbyněk - Tichavský, Petr
A Homotopy Recursive-in-Model-Order Algorithm for Weighted LASSO.
2014 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP). Piscataway: IEEE, 2014, s. 4179-4183. ISBN 978-1-4799-2892-7.
[2014 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP). Florencie (IT), 04.05.2014-09.05.2014]
Grant ostatní: GA ČR(CZ) GA14-11898S
Institucionální podpora: RVO:67985556
Klíčová slova: Sparse Linear Regression * homotopy * Levinson-Durbin algorithm
Kód oboru RIV: BI - Akustika a kmity
http://library.utia.cas.cz/separaty/2014/SI/koldovsky-0427989.pdf

A fast algorithm to solve weighted L1-minimization problems with N × N square “measuring” matrices is proposed. The method is recursive-in-model-order and tracks a homotopy path that goes through solutions of the optimization sub-tasks in the order of 1 through N. It thus yields solutions for all model orders and performs this task faster than the other compared methods. We show applications of this method in sparse linear system identification, in particular, the estimation of sparse target-cancellation filters for audio source separation.
Trvalý link: http://hdl.handle.net/11104/0233817