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Seminar Details


Date 15-6-2011
Time 14:30
Room/Location DISI-Aula 214 - 2 piano
Title A General Framework for Structured Sparsity via Proximal Optimization
Speaker Dott. Luca Baldassarre
Affiliation University College of London
Link https://www.disi.unige.it/index.php?eventsandseminars/seminars
Abstract I will present a generalized framework for structured sparsity. This framework extends the well-known methods of Lasso and Group Lasso by incorporating additional constraints on the variables as part of a convex optimization problem. This provides a straightforward way of favoring prescribed sparsity patterns, such as orderings, contiguous regions and overlapping groups, among others. Available optimization methods for such problems tend to not scale well with sample size and dimensionality. We instead propose a novel first order proximal method, which builds upon results on fixed points and successive approximations. The algorithm relies on a proximity operator subproblem which can be computed numerically. Experiments on different regression problems demonstrate the efficiency of the optimization algorithm, its scalability with the size of the problem and state of the art statistical performance, which improves over Lasso and StructOMP.
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