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Abstract: We present a path algorithm for the generalized lasso problem. This problempenalizes the $\ell 1$ norm of a matrix D times the coefficient vector, and hasa wide range of applications, dictated by the choice of D. Our algorithm isbased on solving the dual of the generalized lasso, which greatly facilitatescomputation of the path. For $D=I$ the usual lasso, we draw a connectionbetween our approach and the well-known LARS algorithm. For an arbitrary D, wederive an unbiased estimate of the degrees of freedom of the generalized lassofit. This estimate turns out to be quite intuitive in many applications.



Autor: Ryan J. Tibshirani, Jonathan Taylor

Fuente: https://arxiv.org/



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